指数展开：金融衍生品扩散过程转移概率和定价核的有效近似
The Exponent Expansion: An Effective Approximation of Transition Probabilities of Diffusion Processes and Pricing Kernels of Financial Derivatives
摘要：
从物理科学借用的计算技术被引入到获得精确的封闭形式的近似任意扩散过程的转移概率。在路径积分的框架内，同样的技术允许人们获得非常好的近似金融衍生品的定价内核。几个例子，并讨论了这些结果的应用，以提高效率的数值方法衍生产品定价。
英文摘要：
A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique allows one to obtain remarkably good approximations of the pricing kernels of financial derivatives. Several examples are presented, and the application of these results to increase the efficiency of numerical approaches to derivative pricing is discussed.
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