  An efficient computational algorithm to price financial derivatives is
presented. It is based on a path integral formulation of the pricing problem.
It is shown how the path integral approach can be worked out in order to obtain
fast and accurate predictions for the value of a large class of options,
including those with path-dependent and early exercise features. As examples,
the application of the method to European and American options in the
Black-Scholes model is illustrated. A particularly simple and fast
semi-analytical approximation for the price of American options is derived. The
results of the algorithm are compared with those obtained with the standard
procedures known in the literature and found to be in good agreement.
