Related papers: Path Integral and Asset Pricing
We propose a modification of the Faddeev-Popov procedure to construct a path integral representation for the transition amplitude and the partition function for gauge theories whose orbit space has a non-Euclidean geometry. Our approach is…
We show that the semi-classical analysis of generic Euclidean path integrals necessarily requires complexification of the action and measure, and consideration of complex saddle solutions. We demonstrate that complex saddle points have a…
Pricing financial derivatives, in particular European-style options at different time-maturities and strikes, means a relevant problem in finance. The dynamics describing the price of vanilla options when constant volatilities and interest…
Work statistics characterizes important features of a non-equilibrium thermodynamic process. But the calculation of the work statistics in an arbitrary non-equilibrium process is usually a cumbersome task. In this work, we study the work…
The purpose of this paper is to analyze the problem of option pricing when the short rate follows subdiffusive fractional Merton model. We incorporate the stochastic nature of the short rate in our option valuation model and derive explicit…
This thesis provides an overview of the recent advances in reinforcement learning in pricing and hedging financial instruments, with a primary focus on a detailed explanation of the Q-Learning Black Scholes approach, introduced by Halperin…
Feynman's path integral is herein generalized to the nonextensive canonical density matrix based on Tsallis entropy. This generalization is done in two ways by using unnormalized and normalized constraints. Firstly, we consider the path…
We approach the issue of exponentiation of soft gauge boson corrections to scattering amplitudes from a path integral point of view. We show that if one represents the amplitude as a first quantized path integral in a mixed…
We solve the superhedging problem for European options in an illiquid extension of the Black-Scholes model, in which transactions have transient price impact and the costs and the strategies for hedging are affected by physical or cash…
We discuss the semiclassical approximation to transport problems in quantum chaotic systems. The figures of merit are moments of the transmission matrix and of the time delay matrix. After reviewing a few results obtained by treating these…
In this paper we construct a path integral formulation of quantum mechanics on noncommutative phase-space. We first map the system to an equivalent system on the noncommutative plane. Then by applying the formalism of representing a quantum…
We apply a physics-informed deep-learning approach the PINN approach to the Black-Scholes equation for pricing American and European options. We test our approach on both simulated as well as real market data, compare it to…
We consider the problem of pricing path-dependent options on a basket of underlying assets using simulations. As an example we develop our studies using Asian options. Asian options are derivative contracts in which the underlying variable…
There are two well-known approaches to studying nonperturbative aspects of quantum mechanical systems: Saddle point analysis of the partition functions in Euclidean path integral formulation and the exact-WKB analysis based on the wave…
Consistent dynamics which couples classical and quantum degrees of freedom exists. This dynamics is linear in the hybrid state, completely positive and trace preserving. Starting from completely positive classical-quantum master equations,…
In this paper we introduce a new procedure on precise analysis of various physical manifestations in superconducting Qubits using the concept of Feynman path integral in quantum mechanics and quantum field theory. Three specific problem are…
The derivation of path integrals is reconsidered. It is shown that the expression for the discretized action is not unique, and the path integration domain can be deformed so that at least Gaussian path integrals become probabillistic. This…
This paper presents a new model for options pricing. The Black-Scholes-Merton (BSM) model plays an important role in financial options pricing. However, the BSM model assumes that the risk-free interest rate, volatility, and equity premium…
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 general integral transforms (GIT) method for pricing barrier options in the time-dependent Heston model (also with a time-dependent barrier) where the option price is represented in a semi-analytical form as a two-dimensional…