Related papers: Path Integral and Asset Pricing
Input-output theory is a well-known tool in quantum optics and ubiquitous in the description of quantum systems probed by light. Owing to the generality of the setup it describes, the theory finds application in a wide variety of…
The electron motion along a chain is described by a continuum version of the Su-Schrieffer-Heeger Hamiltonian in which phonon fields and electronic coordinates are mapped onto the time scale. The path integral formalism allows us to derive…
We discuss a semi-analytical method for solving SABR-type equations based on path integrals. In this approach, one set of variables is integrated analytically while the second set is integrated numerically via Monte-Carlo. This method,…
Path integrals are a central tool when it comes to describing quantum or thermal fluctuations of particles or fields. Their success dates back to Feynman who showed how to use them within the framework of quantum mechanics. Since then, path…
In this work we present an analytical model, based on the path-integral formalism of Statistical Mechanics, for pricing options using first-passage time problems involving both fixed and deterministically moving absorbing barriers under…
Feynman's path integral approach is studied in the framework of the Wigner-Dunkl deformation of quantum mechanics. We start with reviewing some basics from Dunkl theory and investigate the time evolution of a Gaussian wave packet, which…
In this paper, a time substitution as used by Duru and Kleinert in their treatment of the hydrogen atom with path integrals is performed to price timer options under stochastic volatility models. We present general pricing formulas for both…
The Euclidean path integral quite often involves an action that is not completely real {\it i.e.} a complex action. This occurs when the Minkowski action contains $t$-odd CP-violating terms. Analytic continuation to Euclidean time yields an…
On the basis of the canonical quantization procedure, in which we need the indefinite metric Hilbert space, we formulate field diagonal representation for the scalar Lee-Wick model. Euclidean path integral for the model is then constructed…
In the context of two illustrative examples from supersymmetric quantum mechanics we show that the semi-classical analysis of the path integral requires complexification of the configuration space and action, and the inclusion of complex…
In this work we develop an alternative approach for solution of Quantum Trajectories using the Path Integral method. The state-of-the-art technique in the field is to solve a set of non-linear, coupled partial differential equations (PDEs)…
The path integral formulation of quantum mechanics, i.e., the idea that the evolution of a quantum system is determined as a sum over all the possible trajectories that would take the system from the initial to its final state of its…
We review equivariant localization techniques for the evaluation of Feynman path integrals. We develop systematic geometric methods for studying the semi-classical properties of phase space path integrals for dynamical systems, emphasizing…
The worldline method is a powerful numerical path-integral framework for computing Casimir and Casimir-Polder energies. An important challenge arises when one desires derivatives of path-integral quantities--standard finite-difference…
In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…
While there does not at this time exist a complete canonical theory of full 3+1 quantum gravity, there does appear to be a satisfactory canonical quantization of minisuperspace models. The method requires no `choice of time variable' and…
A path integral formalism for non-equilibrium systems is proposed based on a manifold of quasi-equilibrium densities. A generalized Boltzmann principle is used to weight manifold paths with the exponential of minus the information…
We argue that the Lorentzian path integral is a better starting point for quantum cosmology than the Euclidean version. In particular, we revisit the mini-superspace calculation of the Feynman path integral for quantum gravity with a…
This project attempts to address the problem of asset pricing in a financial market, where the interest rates and volatilities exhibit regime switching. This is an extension of the Black-Scholes model. Studies of Markov-modulated regime…
The Accardi-Boukas quantum Black-Scholes framework, provides a means by which one can apply the Hudson-Parthasarathy quantum stochastic calculus to problems in finance. Solutions to these equations can be modelled using nonlocal diffusion…