Related papers: Path Integral and Asian Options
In perturbative calculations of quantum mechanical path integrals in curvilinear coordinates, Feynman diagrams involve multiple temporal integrals over products of distributions, which are mathematically undefined. We derive simple rules…
In this master thesis, a new approximation scheme to non-relativistic potential scattering is developed and discussed. The starting points are two exact path integral representations of the T-matrix, which permit the application of the…
In this work, we use semigroup integral to evaluate zeta-function regularized determinants. This is especially powerful for non--positive operators such as the Dirac operator. In order to understand fully the quantum effective action one…
While the definition of a fractional integral may be codified by Riemann and Liouville, an agreed-upon fractional derivative has eluded discovery for many years. This is likely a result of integral definitions including numerous constants…
Particles in a curved space are classically described by a nonlinear sigma model action that can be quantized through path integrals. The latter require a precise regularization to deal with the derivative interactions arising from the…
We consider the problem of finding model-independent bounds on the price of an Asian option, when the call prices at the maturity date of the option are known. Our methods differ from most approaches to model-independent pricing in that we…
The Feynman path integral of ordinary quantum mechanics is complexified and it is shown that possible integration cycles for this complexified integral are associated with branes in a two-dimensional A-model. This provides a fairly direct…
This paper introduces a semi-analytical method for pricing American options on assets (stocks, ETFs) that pay discrete and/or continuous dividends. The problem is notoriously complex because discrete dividends create abrupt price drops and…
Functional It^o calculus is based on an extension of the classical It^o calculus to functionals depending on the entire past evolution of the underlying paths and not only on its current value. The calculus builds on Follmer's…
Applications of decision diagrams in quantum circuit analysis have been an active research area. Our work introduces FeynmanDD, a new method utilizing standard and multi-terminal decision diagrams for quantum circuit simulation and…
We construct a worldline path integral for the effective action and propagator of a Dirac field in 2+1 dimensions in an Abelian gauge field background. Integrating over an auxiliary gauge group variable we derive a worldline action…
The Feynman path integral for the generalized harmonic oscillator is reviewed, and it is shown that the path integral can be used to find a complete set of wave functions for the oscillator. Harmonic oscillators with different…
The formulation of the relativistic spinless path integral on the general affine space is presented. For the one dimensional space, the Duru-Kleinert (DK) method and the $\delta $-function perturbation technique are applied to solve the…
We define the notion of distribution on an infinite dimensional space motivated by the notion of Feynman path integral and by construction of probability measures for generalized random fields. This notion of distribution turns out to be…
We prove the Ito-Tanaka formula and the existence of pathwise stochastic integrals for a wide class of Gaussian processes. Motivated by financial applications, we define the stochastic integrals as forward-type pathwise integrals introduced…
In this paper, a complete covariant quantization of generalized electrodynamics is shown through the path integral approach. To this goal, we first studied the hamiltonian structure of system following Dirac's methodology and, then, we…
We present a way for calculating the Lagrangian path integral measure directly from the Hamiltonian Schwinger--Dyson equations. The method agrees with the usual way of deriving the measure, however it may be applied to all theories, even…
Feynman's path integral formulation arose from his attempt to incorporate the Lagrangian framework into quantum mechanics, offering what he regarded as a more fundamental perspective than the Hamiltonian approach, particularly in the…
In this paper it is shown how the generating functional for Green's functions in relativistic quantum field theory and in thermal field theory can be evaluated in terms of a standard quantum mechanical path integral. With this calculational…
We propose a new method to evaluate the effective potential in the path integral for the fixed-energy amplitude as well as for the pseudotime evolution kernel in the formalism by Duru and Kleinert. Restriction to the postpoint or the…