Related papers: Path Integral and Asian Options
In this paper, we consider the problem of hedging Asian options in financial markets with transaction costs. For this, we use the asymptotic hedging approach. The main task of asymptotic hedging in financial markets with transaction costs…
I discuss in this paper the behaviour of the solutions of the so-called q-hyperbolic potentials, i.e. P"oschl-Teller-like and conditionally solvable potentials, in terms of the path integral formalism. The differences in comparison to the…
We give here a covariant definition of the path integral formalism for the Lagrangian, which leaves a freedom to choose anyone of many possible quantum systems that correspond to the same classical limit without adding new potential terms…
The calculation of the decay rate of a metastable state in the path-integral formulation of stochastic processes is revisited. Previous derivations of this rate were achieved at the cost of a step that is difficult to justify…
The manner in which probability amplitudes of paths sum up to form wave functions of a harmonic oscillator, as well as other, simple 1-dimensional problems, is described. Using known, closed-form, path-based propagators for each problem, an…
A general and rigorous methodology to compute the quantum equilibrium isotope effect is described. Unlike standard approaches, ours does not assume separability of rotational and vibrational motions and does not make the harmonic…
We calculate the Feynman formula for the harmonic oscillator beyond and at caustics by the discrete formulation of path integral. The extension has been made by some authors, however, it is not obtained by the method which we consider the…
We provide a unified method for obtaining upper bounds for certain functional integrals appearing in quantum mechanics and non-relativistic quantum field theory, functionals of the form $E\left[\exp(A_T)\right]$, the (effective) action…
In this lecture a short introduction is given into the theory of the Feynman path integral in quantum mechanics. The general formulation in Riemann spaces will be given based on the Weyl- ordering prescription, respectively product ordering…
We perform path integral for a quark (antiquark) in the presence of an arbitrary space-dependent static color potential A^a_0(x)(=-\int dx E^a(x)) with arbitrary color index a=1,2,...8 in SU(3) and obtain an exact non-perturbative…
We prove the existence and pointwise lower and upper bounds for the fundamental solution of the degenerate second order partial differential equation related to Geman-Yor stochastic processes, that arise in models for option pricing theory…
Many interesting physical theories have analytic classical actions. We show how Feynman's path integral may be defined non-perturbatively, for such theories, without a Wick rotation to imaginary time. We start by introducing a class of…
In recent work by the authors, a connection between Feynman's path integral and Fourier integral operator $\zeta$-functions has been established as a means of regularizing the vacuum expectation values in quantum field theories. However,…
The Feynman path integral formalism has inspired the development of memory-efficient and parallelizable classical algorithms for simulating quantum computers. We adapt this approach for the calculation of probability amplitudes of…
A path integral method, combined with atomistic spin dynamics simulations, has been developed to calculate thermal quantum expectation values using a classical approach. In this study, we show how to treat Hamiltonians with non-linear…
In the present manuscript, we employ the Feynman path integral method to derive the propagator in one-dimensional Wigner-Dunkl quantum mechanics. To verify our findings we calculate the propagator associated with the free particle and the…
The problem of a Dirac particle moving in a deformed Hulthen potential is solved in the framework of the path integral formalism. With the help of the Biedenharn transformation, the construction of a closed form for the Green's function of…
Mathematical justifications are given for several integral and series representations of the Dirac delta function which appear in the physics literature. These include integrals of products of Airy functions, and of Coulomb wave functions;…
On the basis of the canonical quantization procedure of a system defined on a cubic lattice, we propose a new method, in which resolutions of unity expressed in terms of eigenvectors are naturally provided, to find eigenvectors of field…
We derive a simple calculation rule for Aoyama--Tamra's prescription for path integral with degenerated potential minima. Non-perturbative corrections due to the restricted functional space (fundamental region) can systematically be…