Related papers: Path Integral and Asset Pricing
Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are usually of high dimensionality and discontinuities. The two factors may significantly deteriorate the…
We revisit the path integral description of the motion of a relativistic electron. Applying a minor but well motivated conceptional change to Feynman's chessboard model, we obtain exact solutions of the Dirac equation. The calculation is…
A path integral approach has been generalized for the non-relativistic electron charge transfer processes. The charge transfer - the capture of an electron by an ion passing another atom or more generally the problem of rearrangement…
We present the calculation of the Feynman path integral in real time for tunneling in quantum mechanics and field theory, including the first quantum corrections. For this purpose, we use the well-known fact that Euclidean saddle points in…
The scattering theory of quantum transport relates transport properties of disordered mesoscopic conductors to their transfer matrix $\bbox{T}$. We introduce a novel approach to the statistics of transport quantities which expresses the…
This work addresses the quantization of a self-interacting higher order time derivative theory using path integrals. To quantize this system and avoid the problems of energy not bounded from below and states of negative norm, we observe the…
I discuss the use of path integrals to study strong-interaction physics from first principles. The underlying theory is cast into path integrals which are evaluated numerically using Monte Carlo methods on a space-time lattice. Examples are…
We extend the application of the Cherny-Shiryaev-Yor invariance principle to a unified Bachelier-Black-Scholes-Merton (BBSM) dynamic pricing model. This extension incorporates the influence of the history of the dynamics (i.e., the path…
The ongoing progress in quantum technologies has fueled a sustained exploration of their potential applications across various domains. One particularly promising field is quantitative finance, where a central challenge is the pricing of…
In computer simulations, quantum delocalization of atomic nuclei can be modeled making use of the Path Integral (PI) formulation of quantum statistical mechanics. This approach, however, comes with a large computational cost. By restricting…
We shall define the oscillatory integrals by action integrals, Van Vleck determinant and Dewitt curvature. Our method employs action integrals along the shortest paths. We have the strong but not uniform convergence of time slicing Feynman…
In financial mathematics, it is a typical approach to approximate financial markets operating in discrete time by continuous-time models such as the Black Scholes model. Fitting this model gives rise to difficulties due to the discrete…
Using rough path theory, we provide a pathwise foundation for stochastic It\^o integration, which covers most commonly applied trading strategies and mathematical models of financial markets, including those under Knightian uncertainty. To…
It is apparent to anyone who thinks about it that, to a large degree, the basic concepts of Newtonian physics are quite intuitive, but quantum mechanics is not. My purpose in this talk is to introduce you to a new, much more intuitive way…
We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time tau. This is accomplished by assuming that the underlying noise in the system is…
Using the generalized coherent states we argue that the path integral formulae for $SU(2)$ and $SU(1,1)$ (in the discrete series) are WKB exact,if the starting point is expressed as the trace of $e^{-iT\hat H}$ with $\hat H$ being given by…
We use the stochastic quantization method to study systems with complex valued path integral weights. We assume a Langevin equation with a memory kernel and Einstein's relations with colored noise. The equilibrium solution of this…
Feynman's path integrals provide a hidden variable description of quantum mechanics (and quantum field theories). The expectation values defined through path integrals obey Bell's inequalities in Euclidean time, but not in Minkowski time.…
In this paper, we present a reduced basis method for pricing European and American options based on the Black-Scholes and Heston model. To tackle each model numerically, we formulate the problem in terms of a time dependent variational…
In this article we consider the problem of pricing and hedging high-dimensional Asian basket options by Quasi-Monte Carlo simulation. We assume a Black-Scholes market with time-dependent volatilities and show how to compute the deltas by…