英文标题：
《Analytical Path-Integral Pricing of Moving-Barrier Options under
  non-Gaussian Distributions》
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作者：
Andre Catalao and Rogerio Rosenfeld
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最新提交年份：
2018
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英文摘要：
  In this work we present an analytical model, based on the path-integral formalism of Statistical Mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under possible non-gaussian distributions of the underlying object. We adapt to our problem a model originally proposed to describe the formation of galaxies in the universe of De Simone et al (2011), which uses cumulant expansions in terms of the Gaussian distribution, and we generalize it to take into acount drift and cumulants of orders higher than three. From the probability density function, we obtain an analytical pricing model, not only for vanilla options (thus removing the need of volatility smile inherent to the Black-Scholes model), but also for fixed or deterministically moving barrier options. Market prices of vanilla options are used to calibrate the model, and barrier option pricing arising from the model is compared to the price resulted from the relative entropy model.
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中文摘要：
在这项工作中，我们基于统计力学的路径积分形式，提出了一个分析模型，用于在潜在对象可能的非高斯分布下，使用第一次通过时间问题对期权进行定价，该问题涉及固定和确定性移动吸收屏障。我们采用了一个最初提出的模型来描述De Simone et al（2011）宇宙中星系的形成，该模型使用高斯分布的累积量展开，并将其推广到考虑计数漂移和大于三阶的累积量。从概率密度函数中，我们得到了一个分析定价模型，不仅适用于普通期权（从而消除了Black-Scholes模型固有的波动率微笑的需要），也适用于固定或确定性移动障碍期权。利用普通期权的市场价格对模型进行了标定，并将该模型产生的障碍期权定价与相对熵模型产生的价格进行了比较。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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