Related papers: Path Integral and Asian Options
In the application of potential models, the use of the Dirac equation in central potentials remains of phenomenological interest. The associated set of decoupled second-order ordinary differential equations is here studied by exploiting the…
L\'{e}vy flights can be described using a Fokker-Planck equation which involves a fractional derivative operator in the position co-ordinate. Such an operator has its natural expression in the Fourier domain. Starting with this, we show…
The Green function (GF) related to the problem of a Dirac particle interacting with a plane wave and constant magnetic fields is calculated in the framework of path integral via Alexandrou et al. formalism according to the so-called global…
In this paper we analyze American style of floating strike Asian call options belonging to the class of financial derivatives whose payoff diagram depends not only on the underlying asset price but also on the path average of underlying…
The 1993 Laplace transform approach of Geman and Yor is a celebrated advance in valuing Asian options. Its insights are fundamental from both a mathematical and a financial perspective. In this paper, we discuss two observations regarding…
Feynman's time-slicing construction approximates the path integral by a product, determined by a partition of a finite time interval, of approximate propagators. This paper formulates general conditions to impose on a short-time…
Starting from the Dirac equation in external electromagnetic and torsion fields we derive a path integral representation for the corresponding propagator. An effective action, which appears in the representation, is interpreted as a…
We develop the contour integral method for numerically solving the Feynman-Kac equation with two internal states [P. B. Xu and W. H. Deng, Math. Model. Nat. Phenom., 13 (2018), 10], describing the functional distribution of particle's…
A new supersymmetric proof of the Atiyah-Singer index theorem is presented. The Peierls bracket quantization scheme is used to quantize the supersymmetric classical system corresponding to the index problem for the twisted Dirac operator.…
A path integral Monte Carlo method (PIMC) based on Feynman-Kac formula for mixed boundary conditions of elliptic equations is proposed to solve the forward problem of electrical impedance tomography (EIT) on the boundary to obtain…
This paper studies how to price and hedge options under stock models given as a path-dependent SDE solution. When the path-dependent SDE coefficients have Fr\'{e}chet derivatives, an option price is differentiable with respect to time and…
We provide results relating to the integrability, uniform integrability and local integrability of exponential MAPs, which are natural extensions of exponential Levy models. Then, we use Mellin transform and partial integro-differential…
A path integral representation of the evolution operator for the four-dimensional Dirac equation is proposed. A quadratic form of the canonical momenta regularizes the original representation of the path integral in the electron phase…
The path integral formalism gives a very illustrative and intuitive understanding of quantum mechanics but due to its difficult sum over phases one usually prefers Schr\"odinger's approach. We will show that it is possible to calculate…
We generalize a semi-classical path integral approach originally introduced by Giachetti and Tognetti [Phys. Rev. Lett. 55, 912 (1985)] and Feynman and Kleinert [Phys. Rev. A 34, 5080 (1986)] to time-dependent Hamiltonians, thus extending…
Path integrals represent a powerful route to quantization: they calculate probabilities by summing over classical configurations of variables such as fields, assigning each configuration a phase equal to the action of that configuration.…
Conditional Asian options are recent market innovations, which offer cheaper and long-dated alternatives to regular Asian options. In contrast with payoffs from regular Asian options which are based on average asset prices, the payoffs from…
The incorporation of two- and three-dimensional $\delta$-function perturbations into the path-integral formalism is discussed. In contrast to the one-dimensional case, a regularization procedure is needed due to the divergence of the…
We provide an extension of the unbiased simulation method for SDEs developed in Henry-Labordere et al. [Ann Appl Probab. 27:6 (2017) 1-37] to a class of path-dependent dynamics, pertaining for Asian options. In our setting, both the payoff…
We give a new proof of the trace formula for regular graphs. Our approach is inspired by path integral approach in quantum mechanics, and calculations are mostly combinatorial.