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• W3125655472 abstract "The Black–Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and also consider multi-factor models including stochastic volatility. Daily Eurodollar futures prices and implied volatilities are fit to determine exponents of functional behavior of diffusions using methods of global optimization, adaptive simulated annealing (ASA), to generate tight fits across moving time windows of Eurodollar contracts. These short-time fitted distributions are then developed into long-time distributions using a robust non-Monte Carlo path-integral algorithm, PATHINT, to generate prices and derivatives commonly used by option traders." @default.
• W3125655472 created "2021-02-01" @default.
• W3125655472 creator A5064744501 @default.
• W3125655472 date "2000-08-01" @default.
• W3125655472 modified "2023-10-12" @default.
• W3125655472 title "High-resolution path-integral development of financial options" @default.
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• W3125655472 doi "https://doi.org/10.1016/s0378-4371(00)00229-6" @default.
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