Related papers: Path Integral Method for Proportional Step and Pro…
We propose a very efficient method for pricing various types of lookback options under Markov models. We utilize the model-free representations of lookback option prices as integrals of first passage probabilities. We combine efficient…
An analysis of classical mechanics in a complex extension of phase space shows that a particle in such a space can behave in a way redolant of quantum mechanics; additional degrees of freedom permit 'tunnelling' without recourse to…
The exchange antisymmetry between identical fermions gives rise to the well known fermion sign problem, in the form of large cancellation between positive and negative contribution to the partition function, making any simulation methods…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
This paper examines a class of barrier options-multi-step barrier options, which can have any finite number of barriers of any level. We obtain a general, explicit expression of option prices of this type under the Black-Scholes model.…
We present a path - integral approach to treat a 2D model of a quantum bifurcation. The model potential has two equivalent minima separated by one or two saddle points, depending on the value of a continuous parameter. Tunneling is…
The path probability of a particle undergoing stochastic motion is studied by the use of functional technique, and the general formula is derived for the path probability distribution functional. The probability of finding paths inside a…
It is well known that the Black-Scholes-Merton model suffers from several deficiencies. Jump-diffusion and Levy models have been widely used to partially alleviate some of the biases inherent in this classical model. Unfortunately, the…
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…
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but are switched off in between. As an…
We study the application of the coherent-state path integral as a numerical tool for wave-packet propagation. The numerical evaluation of path integrals is reduced to a matrix-vector multiplication scheme. Together with a split-operator…
Pricing of financial derivatives, in particular early exercisable options such as Bermudan options, is an important but heavy numerical task in financial institutions, and its speed-up will provide a large business impact. Recently,…
There is a vast literature on numerical valuation of exotic options using Monte Carlo, binomial and trinomial trees, and finite difference methods. When transition density of the underlying asset or its moments are known in closed form, it…
We here put forward a new path-integral over Hilbert space and show that it reproduces quantum mechanics exactly. This approach works by optimizing the generating functional under a variation of the final state; it is hence an example of a…
We suggest a closed form expression for the path integral of quantum transition amplitudes. We introduce a quantum action with renormalized parameters. We present numerical results for the $V \sim x^{4}$ potential. The renormalized action…
Introduction Path Integrals - Introduction - Propagator - Free Particle - Path Integral Representation of Quantum Mechanics - Particle on a Ring - Particle in a Box - Driven Harmonic Oscillator - Semiclassical Approximation - Imaginary Time…
The stochastization of the Jacobi second equality of classical mechanics, by Gaussian white noises for the Lagrangian of a particle in an arbitrary field is considered. The quantum mechanical Hamilton operator similar to that in Euclidian…
In this paper, an integral equation representation for the early exercise boundary of an American option contract is considered. Thus far, a number of different techniques have been proposed in the literature to obtain a variety of integral…
We use path integrals to calculate perturbative corrections to the correlation function of a particle under the action of nonlinear optical tweezers, both in the overdamped and underdamped regimes. In both cases, it is found that to leading…
We present the path-integral solutions to the distributions in classical (Gibbs) and quantum (Wigner) statistical mechanics. The kernel of the distributions are derived in two ways - one by time slicing and defining the appropriate…