Related papers: Path Integral and Asian Options
Some well-known examples of constrained quantum systems commonly quantized via Feynman path integrals are re-examined using the notion of conditional integrators introduced in [1]. The examples yield some new perspectives on old results. As…
A generalized Feynman-Kac formula based on the Wiener measure is presented. Within the setting of a quantum particle in an electromagnetic field it yields the standard Feynman-Kac formula for the corresponding Schr\"odinger semigroup. In…
Systems with constraints pose problems when they are quantized. Moreover, the Dirac procedure of quantization prior to reduction is preferred. The projection operator method of quantization, which can be most conveniently described by…
The goal of this paper is to define stochastic integrals and to solve stochastic differential equations for typical paths taking values in a possibly infinite dimensional separable Hilbert space without imposing any probabilistic structure.…
Using fractional calculus we define integrals of the form $% \int_{a}^{b}f(x_{t})dy_{t}$, where $x$ and $y$ are vector-valued H\"{o}lder continuous functions of order $\displaystyle \beta \in (\frac13, \frac12)$ and $f$ is a continuously…
This article addresses the problem of approximating the price of options on discrete and continuous arithmetic average of the underlying, i.e. discretely and continuously monitored Asian options, in local volatility models. A…
Quantum Finance represents the synthesis of the techniques of quantum theory (quantum mechanics and quantum field theory) to theoretical and applied finance. After a brief overview of the connection between these fields, we illustrate some…
Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural…
In this paper we outline the construction of semiclassical eigenfunctions of integrable models in terms of the semiclassical path integral for the Poisson sigma model with the target space being the phase space of the integrable system. The…
A summary of the relationship between the Langevin equation, Fokker-Planck-Kolmogorov forward equation (FPKfe) and the Feynman path integral descriptions of stochastic processes relevant for the solution of the continuous-discrete filtering…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
The Feynman path integral approach to quantum mechanics is examined in the case where the configuration space is curved. It is shown how the ambiguity that is present in the choice of path integral measure may be resolved if, in addition to…
The fluctuations of dynamical functionals such as the empirical density and current as well as heat, work and generalized currents in stochastic thermodynamics are usually studied within the Feynman-Kac tilting formalism, which in the…
We consider Dirac fermion confined in harmonic potential and submitted to a constant magnetic field. The corresponding solutions of the energy spectrum are obtained by using the path integral techniques. For this, we begin by establishing a…
We solve time-sliced path integrals of one-dimensional Coulomb system in an exact manner. In formulating path integrals, we make use of the Duru-Kleinert transformation with Fujikawa's gauge theoretical technique. Feynman kernels in the…
Path integrals are a ubiquitous tool in theoretical physics. However, their use is sometimes hindered by the lack of control on various manipulations -- such as performing a change of the integration path -- one would like to carry out in…
The path integral formulation in quantum mechanics corresponds to the first quantization since it is just to rewrite the quantum mechanical amplitude into many dimensional integrations over discretized coordinates $x_n$. However, the path…
We give a mathematical definition of some path integrals, emphasizing those relevant to the quantization of symplectic manifolds (and more generally, Poisson manifolds) $\unicode{x2013}$ in particular, the coherent state path integral. We…
An importance sampling method based on Generalized Feynman-Kac method has been used to calculate the mean values of quantum observables from quantum correlation functions for many body systems both at zero and finite temperature.…
We propose a path integral formulation for scale invariant quantum field theories. We do it by modifying the functional integration measure in such a way that the partition function is always exactly scale invariant, at the cost of having…