CAMPOLIETI, GIUSEPPE; MAKAROV, ROMAN - In: International Journal of Theoretical and Applied … 10 (2007) 01, pp. 51-88
This paper develops bridge sampling path integral algorithms for pricing path-dependent options under a new class of nonlinear state dependent volatility models. Path-dependent option pricing is considered within a new (dual) Bessel family of semimartingale diffusion models, as well as the...