Related papers: Morse Potential, Contour Integrals, and Asian Opti…
Eigenvalue transformations appear ubiquitously in scientific computation, ranging from matrix polynomials to differential equations, and are beyond the reach of the quantum singular value transformation framework. In this work, we study the…
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…
We derive a closed-form solution for the price of an average price as well as an average strike geometric Asian option, by making use of the path integral formulation. Our results are compared to a numerical Monte Carlo simulation. We also…
Morse potential $V_M(x)= g^2\exp (2x)-g(2h+1)\exp(x)$ is defined on the full line, $-\infty<x<\infty$ and it defines an exactly solvable 1-d quantum mechanical system with finitely many discrete eigenstates. By taking its right half $0\le…
The Variational Method is applied within the context of Supersymmetric Quantum Mechanics to provide information about the energy and eigenfunction of the lowest levels of a Hamiltonian. The approach is illustrated by the case of the Morse…
Contour integral methods for nonlinear eigenvalue problems seek to compute a subset of the spectrum in a bounded region of the complex plane. We briefly survey this class of algorithms, establishing a relationship to system realization…
We use a power-series expansion to calculate the eigenvalues of anharmonic oscillators bounded by two infinite walls. We show that for large finite values of the separation of the walls, the calculated eigenvalues are of the same high…
In this paper we analytically study the problem of pricing an arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action…
Contour integrals of rational functions over ${\cal M}_{0,n}$, the moduli space of $n$-punctured spheres, have recently appeared at the core of the tree-level S-matrix of massless particles in arbitrary dimensions. The contour is determined…
In the present work, we studied the q-deformed Morse and harmonic oscillator systems with appropriate canonical commutation algebra. The analytic solutions for eigenfunctions and energy eigenvalues are worked out using time-independent…
The recently proposed PT-symmetric quantum mechanics works with complex potentials which possess, roughly speaking, a symmetric real part and an anti-symmetric imaginary part. We propose and describe a new exactly solvable model of this…
We delineate the scope of research on the completeness of eigenstates in quantum mechanics. Based on the limit of the potential function at infinity, the proof of completeness is divided into eight cases, and theoretical proofs or numerical…
In many applications, the information about the number of eigenvalues inside a given region is required. In this paper, we propose a contour-integral based method for this purpose. The new method is motivated by two findings. There exist…
Recently, a kind of eigensolvers based on contour integral were developed for computing the eigenvalues inside a given region in the complex plane. The CIRR method is a classic example among this kind of methods. In this paper, we propose a…
The eigenvalue density of a matrix plays an important role in various types of scientific computing such as electronic-structure calculations. In this paper, we propose a quantum algorithm for computing the eigenvalue density in a given…
Path integral method in quantum mechanics provides a new thinking for barrier option pricing. For proportional step options, the option price changing process is similar to the one dimensional trapezoid potential barrier scattering problem…
Path integral solutions are obtained for the the PT-/non-PT-Symmetric and non-Hermitian Morse Potential. Energy eigenvalues and the corresponding wave functions are obtained.
This paper derives integral representations for the Black-Scholes price of arithmetic-average Asian options. Their proof is by Laplace inverting the 1992 Laplace transform of Geman-Yor using complex analytic methods. The analysis ultimately…
It has been recently conjectured that the exact eigenfunctions of quantum mirror curves can be obtained by combining their WKB expansion with the open topological string wavefunction. In this paper we give further evidence for this…
In this work, we present a quantum algorithm designed to solve the differential equation used in the pricing of Asian options, in the framework of the Black-Scholes model. Our approach modifies an existing quantum pre-conditioning method…