Related papers: Path Integral and Asian Options
Completeness of the eigenfunctions of a quantum mechanical system is crucial for its probability interpretation. By using the method of contour integral we give properly normalized eigenfunctions for both discrete and continuum spectrum of…
Feynman's path integrals in ordinary, p-adic and adelic quantum mechanics are considered. The corresponding probability amplitudes $ K(x^{"},t^{"};x',t')$ for two-dimensional systems with quadratic Lagrangians are evaluated analytically and…
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. For European options we could improve the…
Feynman's path integral approach is studied in the framework of the Wigner-Dunkl deformation of quantum mechanics. We start with reviewing some basics from Dunkl theory and investigate the time evolution of a Gaussian wave packet, which…
The Feynman path integral is defined over the space $\mathbb{R}^T$ of all possible paths; it has been a powerful tool to develop Quantum Mechanics. The absolute value of Feynman's integrand is not integrable, then Lebesgue integration…
This paper suggests a new way to compute the path integral for simple quantum mechanical systems. The new algorithm originated from previous research in string theory. However, its essential simplicity is best illustrated in the case of a…
We construct a sequence of functions that uniformly converge (on compact sets) to the price of Asian option, which is written on a stock whose dynamics follows a jump diffusion, exponentially fast. Each of the element in this sequence…
$\delta'$-function perturbations and Neumann boundary conditions are incorporated into the path integral formalism. The starting point is the consideration of the path integral representation for the one dimensional Dirac particle together…
We revisit the path integral description of the motion of a relativistic electron. Applying a minor but well motivated conceptional change to Feynman's chessboard model, we obtain exact solutions of the Dirac equation. The calculation is…
Richard Feynman's method of path integrals is based on the fundamental assumption that a system starting at a point A and arriving at a point B takes all possible paths from A to B, with each path contributing its own (complex) probability…
In this paper, we construct a $p$-adic path integral via $p$-adic multiple integrals. This integral describes the evolution of a wave function $\Psi(x)$, which is defined as a map from a domain in $\mathbb{C}_{p}$ to $\mathbb{C}_{p}$. We…
A c-number path integral representation is constructed for the solution of the Dirac equation. The integration is over the real trajectories in the continuous three-space and other two canonical pairs of compact variables controlling the…
In perturbative calculations of quantum-statistical zero-temperature path integrals in curvilinear coordinates one encounters Feynman diagrams involving multiple temporal integrals over products of distributions, which are mathematically…
Averaging problems are ubiquitous in Finance with the valuation of the so-called Asian options on arithmetic averages as their most conspicuous form. There is an abundance of numerical work on them, and their stochastic structure has been…
The path integral formulation of quantum mechanics, i.e., the idea that the evolution of a quantum system is determined as a sum over all the possible trajectories that would take the system from the initial to its final state of its…
We give a pragmatic/pedagogical discussion of using Euclidean path integral in asset pricing. We then illustrate the path integral approach on short-rate models. By understanding the change of path integral measure in the Vasicek/Hull-White…
The Feynman Propagator of a charged particle confined to an anisotropic Harmonic Oscillator potential and moving in a crossed electromagnetic field is calculated in a conceptually new way. The calculation is based on the expansion of the…
Functional integrals are central to modern theories ranging from quantum mechanics and statistical thermodynamics to biology, chemistry, and finance. In this work we present a new method for calculating functional integrals based on a…
For distinguishable particles it is well known that Brownian motion and a Feynman-Kac functional can be used to calculate the path integral (for imaginary times) for a general class of scalar potentials. In order to treat identical…
We study finite-dimensional integrals in a way that elucidates the mathematical meaning behind the formal manipulations of path integrals occurring in quantum field theory. This involves a proper understanding of how Wick's theorem allows…