smq/directoryAn evolving quant resource archive
Back to directoryResource
Paper / 2023SMQ / 260146911299738
Path Integral Method for Pricing Proportional Step Double-Barrier Option with Time Dependent Parameters
Chao Guo / Qi Chen
option pricingResource overview

Path Integral Method for Pricing Proportional Step Double-Barrier Option with Time Dependent Parameters

Paper2023

by Chao Guo, Qi Chen

Tags
option pricing

Access resource

Open original source Understand this paper

Continue on SelfMadeQuant

Understand this paper

Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

Before you read

  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

Go further

  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

Explore a related reading path

Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Derivatives Pricing and Computational Finance

Keep exploring

Related resources

More ideas from similar topics.

6

From the same author

Chao Guo, Qi Chen

3