Related papers: Path Integral and Asian Options
We derive two path integral estimators for the derivative of the quantum mechanical potential of mean force (PMF), which may be numerically integrated to yield the PMF. For the first estimator, we perform the differentiation on the exact…
The challenge to fruitfully merge state-of-the-art techniques from mathematical finance and numerical analysis has inspired researchers to develop fast deterministic option pricing methods. As a result, highly efficient algorithms to…
The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic…
The method and characteristics of several approaches to the pricing of discretely monitored arithmetic Asian options on stocks with discrete, absolute dividends are described. The contrast between method behaviors for options with an Asian…
We introduce two new integral transforms of the quantum mechanical transition kernel that represent physical information about the path integral. These transforms can be interpreted as probability distributions on particle trajectories…
In this article we present new results for the pricing of arithmetic Asian options within a Black-Scholes context. To derive these results we make extensive use of the local scale invariance that exists in the theory of contingent claim…
We develop a tractable framework for valuing Asian options when trading the underlying generates market impact and execution costs. Starting from a discrete-time, quote-level model, we construct a reference midpoint suitable for Asian…
Methods were initiated by Mark Kac and Richard Feynman to evaluate random functionals of the form $\int^t_0V(X_s)ds$ for a nonnegative $V$ and a Markov process $X_t$. Their results evolved into the well known Feynman Kac formula.…
The Feynman path integral has revolutionized modern approaches to quantum physics. Although the path integral formalism has proven very successful and spawned several approximation schemes, the direct evaluation of real-time path integrals…
Work statistics characterizes important features of a non-equilibrium thermodynamic process. But the calculation of the work statistics in an arbitrary non-equilibrium process is usually a cumbersome task. In this work, we study the work…
The distribution of a time integral of geometric Brownian motion is not well understood. To price an Asian option and to obtain measures of its dependence on the parameters of time, strike price, and underlying market price, it is essential…
Invited talk given at the ``International Workshop on `Symmetry Methods in Physics' in memory of Ya.\ A.\ Smorodinsky, 5--10 July 1993, Dubna, Russia; to appear in the proceedings. In this contribution I present further results on steps…
A systematic classification of Feynman path integrals in quantum mechanics is presented and a table of solvable path integrals is given which reflects the progress made during the last ten years or so, including, of course, the main…
In this paper we propose and analyse a method for estimating three quantities related to an Asian option: the fair price, the cumulative distribution function, and the probability density. The method involves preintegration with respect to…
These lectures are intended as an introduction to the technique of path integrals and their applications in physics. The audience is mainly first-year graduate students, and it is assumed that the reader has a good foundation in quantum…
Asian option, as one of the path-dependent exotic options, is widely traded in the energy market, either for speculation or hedging. However, it is hard to price, especially the one with the arithmetic average price. The traditional trading…
In this paper, the Feynman path integral formulation of the continuous-continuous filtering problem, a fundamental problem of applied science, is investigated for the case when the noise in the signal and measurement model is additive. It…
The relativistic Green's function of a free spin-1/2 fermion is derived using the Feynman path integral formalism in spherical coordinates. The Green's function is reduced to an exactly solvable path integral by an appropriate coordinate…
A path-integral approach for delta-function potentials is presented. Particular attention is paid to the two-dimensional case, which illustrates the realization of a quantum anomaly for a scale invariant problem in quantum mechanics. Our…
The Feynman path integral representation of quantum theory is used in a non--parametric Bayesian approach to determine quantum potentials from measurements on a canonical ensemble. This representation allows to study explicitly the…