{"id":"https://openalex.org/W2163204935","doi":"https://doi.org/10.1142/s0219024999000200","title":"A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS","display_name":"A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS","publication_year":1999,"publication_date":"1999-10-01","ids":{"openalex":"https://openalex.org/W2163204935","doi":"https://doi.org/10.1142/s0219024999000200","mag":"2163204935"},"language":"en","primary_location":{"id":"doi:10.1142/s0219024999000200","doi":"https://doi.org/10.1142/s0219024999000200","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024999000200","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5025142763","display_name":"ELEONORA BENNATI","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I108290504","display_name":"University of Pisa","ror":"https://ror.org/03ad39j10","country_code":"IT","type":"education","lineage":["https://openalex.org/I108290504"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"ELEONORA BENNATI","raw_affiliation_strings":["Dipartimento di Scienze, Economiche dell'Universit\u00e0 di Pisa, Via Curtatone e Montanara, 14 56100 Pisa, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dipartimento di Scienze, Economiche dell'Universit\u00e0 di Pisa, Via Curtatone e Montanara, 14 56100 Pisa, Italy","institution_ids":["https://openalex.org/I108290504"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5012228090","display_name":"M. Rosa-Clot","orcid":"https://orcid.org/0000-0002-7530-7790","observed_orcids":["https://orcid.org/0000-0002-7530-7790","https://orcid.org/0000-0003-1424-3495"]},"institutions":[{"id":"https://openalex.org/I4210133295","display_name":"Istituto Nazionale di Fisica Nucleare, Sezione di Firenze","ror":"https://ror.org/02vv5y108","country_code":"IT","type":"facility","lineage":["https://openalex.org/I160013858","https://openalex.org/I4210133295"]},{"id":"https://openalex.org/I45084792","display_name":"University of Florence","ror":"https://ror.org/04jr1s763","country_code":"IT","type":"education","lineage":["https://openalex.org/I45084792"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"MARCO ROSA-CLOT","raw_affiliation_strings":["Dipartimento di Fisica, Universit\u00e0 degli Studi di Firenze and Istituto Nazionale di Fisica Nucleare, Sezione di Firenze, Largo Enrico Fermi 2, I-50125, Firenze, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dipartimento di Fisica, Universit\u00e0 degli Studi di Firenze and Istituto Nazionale di Fisica Nucleare, Sezione di Firenze, Largo Enrico Fermi 2, I-50125, Firenze, Italy","institution_ids":["https://openalex.org/I4210133295","https://openalex.org/I45084792"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5027821454","display_name":"Stefano Taddei","orcid":"https://orcid.org/0000-0002-5002-3070","observed_orcids":["https://orcid.org/0000-0002-5002-3070"]},"institutions":[{"id":"https://openalex.org/I4210133295","display_name":"Istituto Nazionale di Fisica Nucleare, Sezione di Firenze","ror":"https://ror.org/02vv5y108","country_code":"IT","type":"facility","lineage":["https://openalex.org/I160013858","https://openalex.org/I4210133295"]},{"id":"https://openalex.org/I45084792","display_name":"University of Florence","ror":"https://ror.org/04jr1s763","country_code":"IT","type":"education","lineage":["https://openalex.org/I45084792"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"STEFANO TADDEI","raw_affiliation_strings":["Dipartimento di Fisica, Universit\u00e0 degli Studi di Firenze and Istituto Nazionale di Fisica Nucleare, Sezione di Firenze, Largo Enrico Fermi 2, I-50125, Firenze, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Dipartimento di Fisica, Universit\u00e0 degli Studi di Firenze and Istituto Nazionale di Fisica Nucleare, Sezione di Firenze, Largo Enrico Fermi 2, I-50125, Firenze, Italy","institution_ids":["https://openalex.org/I4210133295","https://openalex.org/I45084792"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":3,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.4394,"has_fulltext":false,"cited_by_count":54,"citation_normalized_percentile":{"value":0.93905334,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"02","issue":"04","first_page":"381","last_page":"407"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/path-integral","display_name":"path integral","score":0.8450000286102295},{"id":"https://openalex.org/keywords/derivatives-pricing","display_name":"derivative pricing","score":0.9440000057220459},{"id":"https://openalex.org/keywords/stochastic-differential-equations","display_name":"stochastic differential equations","score":0.9679999947547913},{"id":"https://openalex.org/keywords/partial-differential-equations","display_name":"partial differential equations","score":0.875},{"id":"https://openalex.org/keywords/stochastic-volatility","display_name":"stochastic volatility","score":0.5509999990463257},{"id":"https://openalex.org/keywords/covariant-formulation","display_name":"covariant formulation","score":0.8669999837875366},{"id":"https://openalex.org/keywords/variable-transformation","display_name":"change of variables","score":0.9279999732971191},{"id":"https://openalex.org/keywords/financial-market-models","display_name":"financial market models","score":0.4740000069141388}],"concepts":[{"id":"https://openalex.org/C154018700","wikidata":"https://www.wikidata.org/wiki/Q898323","display_name":"Path integral formulation","level":3,"score":0.7506475448608398},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5493761897087097},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.5436614155769348},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5255659818649292},{"id":"https://openalex.org/C73301696","wikidata":"https://www.wikidata.org/wiki/Q5469984","display_name":"Formalism (music)","level":3,"score":0.48523592948913574},{"id":"https://openalex.org/C2780069185","wikidata":"https://www.wikidata.org/wiki/Q7977945","display_name":"Equivalence (formal languages)","level":2,"score":0.444854199886322},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.4390905201435089},{"id":"https://openalex.org/C9136319","wikidata":"https://www.wikidata.org/wiki/Q362640","display_name":"Covariant transformation","level":2,"score":0.43851256370544434},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.2704886794090271},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.16380345821380615},{"id":"https://openalex.org/C37914503","wikidata":"https://www.wikidata.org/wiki/Q156495","display_name":"Mathematical physics","level":1,"score":0.1412557065486908},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.10713282227516174},{"id":"https://openalex.org/C142362112","wikidata":"https://www.wikidata.org/wiki/Q735","display_name":"Art","level":0,"score":0.0},{"id":"https://openalex.org/C558565934","wikidata":"https://www.wikidata.org/wiki/Q2743","display_name":"Musical","level":2,"score":0.0},{"id":"https://openalex.org/C153349607","wikidata":"https://www.wikidata.org/wiki/Q36649","display_name":"Visual arts","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C84114770","wikidata":"https://www.wikidata.org/wiki/Q46344","display_name":"Quantum","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1142/s0219024999000200","doi":"https://doi.org/10.1142/s0219024999000200","is_oa":false,"landing_page_url":"https://doi.org/10.1142/s0219024999000200","pdf_url":null,"source":{"id":"https://openalex.org/S173574685","display_name":"International Journal of Theoretical and Applied Finance","issn_l":"0219-0249","issn":["0219-0249","1793-6322"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3","vabb-shw"],"host_organization":"https://openalex.org/P4310319815","host_organization_name":"World Scientific","host_organization_lineage":["https://openalex.org/P4310319815"],"host_organization_lineage_names":["World Scientific"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Journal of Theoretical and Applied Finance","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:wsi:ijtafx:v:02:y:1999:i:04:n:s0219024999000200","doi":null,"is_oa":false,"landing_page_url":"http://www.worldscientific.com/doi/abs/10.1142/S0219024999000200","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":15,"referenced_works":["https://openalex.org/W1552736770","https://openalex.org/W1964706495","https://openalex.org/W1976216024","https://openalex.org/W1985003570","https://openalex.org/W1989006674","https://openalex.org/W1997093580","https://openalex.org/W2025911194","https://openalex.org/W2028461150","https://openalex.org/W2036573615","https://openalex.org/W2064978316","https://openalex.org/W2068928693","https://openalex.org/W2077626691","https://openalex.org/W2114849571","https://openalex.org/W2119299497","https://openalex.org/W3021444882"],"related_works":["https://openalex.org/W1590708891","https://openalex.org/W4225913561","https://openalex.org/W7095980975","https://openalex.org/W4405187226","https://openalex.org/W4401881537","https://openalex.org/W1540131366","https://openalex.org/W3141833537","https://openalex.org/W7099347149","https://openalex.org/W2522978450","https://openalex.org/W2065376421"],"abstract_inverted_index":{"We":[0,30],"use":[1],"a":[2,47],"path":[3,21],"integral":[4,22],"approach":[5],"for":[6],"solving":[7],"the":[8,12,17,20,24,33,36,59,72],"stochastic":[9],"equations":[10],"underlying":[11],"financial":[13,82],"markets,":[14],"and":[15,23,27,35,43,45],"show":[16],"equivalence":[18],"between":[19],"usual":[25],"SDE":[26],"PDE":[28],"methods.":[29],"analyze":[31],"both":[32],"one-dimensional":[34],"multi-dimensional":[37],"cases,":[38],"with":[39,65],"point":[40],"dependent":[41],"drift":[42],"volatility,":[44],"describe":[46],"covariant":[48],"formulation":[49],"which":[50,77],"allows":[51],"general":[52],"changes":[53],"of":[54,75,81],"variables.":[55],"Finally":[56],"we":[57,70],"apply":[58],"method":[60],"to":[61,79],"some":[62],"economic":[63],"models":[64],"analytical":[66],"solutions.":[67],"In":[68],"particular,":[69],"evaluate":[71],"expectation":[73],"value":[74],"functionals":[76],"correspond":[78],"quantities":[80],"interest.":[83]},"counts_by_year":[{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":3},{"year":2023,"cited_by_count":3},{"year":2022,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":7},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
