Option pricing via path integrals: a new perspective

通过路径积分进行期权定价：新视角

• 批准号: DP0556113
• 负责人: Prof Derek Abbott
• 金额: $ 10.19万
• 依托单位: The University of Adelaide
• 依托单位国家: 澳大利亚
• 项目类别: Discovery Projects
• 财政年份: 2005
• 资助国家: 澳大利亚
• 起止时间: 2005-01-01 至 2007-12-31
• 项目状态: 已结题
• 来源: https://dataportal.arc.gov.au/RGS/Web/Grants/DP0556113
• 关键词: Option; pricing; via; path; integrals

The risk management of derivative securities is a very exciting challenge for financial market researchers. The knowledge base resulting from this proposal will benefit both large financial institutions and Australia's financial system by creating a more competitive and efficient economic environment, which will inevitably lead to more gross domestic product (GDP) gains.Furthermore a large amount of software and numerical analysis work to be developed during the project can be turned into IP for Australia. This will contribute to catalysing development of internationally competitive financial risk management software industry.

衍生证券的风险管理对金融市场研究者来说是一个非常令人兴奋的挑战。这一项目所产生的知识基础将使大型金融机构和澳大利亚的金融体系受益，创造一个更具竞争力和效率的经济环境，这将不可避免地带来更多的国内生产总值（GDP）收益。此外，项目期间开发的大量软件和数值分析工作可以转化为澳大利亚的知识产权。这将有助于促进具有国际竞争力的金融风险管理软件行业的发展。