Related papers: Path Integral Method for Pricing Proportional Step…
This paper presents a multinomial method for option pricing when the underlying asset follows an exponential Variance Gamma process. The continuous time Variance Gamma process is approximated by a discrete time Markov chain with the same…
In this paper we present a new methodology for option pricing. The main idea consists to represent a generic probability distribution function (PDF) via a perturbative expansion around a given, simpler, PDF (typically a gaussian function)…
Assuming that price of the underlying stock is moving in range bound, the Black-Scholes formula for options pricing supports a separation of variables. The resulting time-independent equation is solved employing different behavior of the…
We propose a phase-space path integral formulation of noncommutative quantum mechanics, and prove its equivalence to the operatorial formulation. As an illustration, the partition function of a noncommutative two-dimensional harmonic…
We give here a covariant definition of the path integral formalism for the Lagrangian, which leaves a freedom to choose anyone of many possible quantum systems that correspond to the same classical limit without adding new potential terms…
In this paper, we propose an iterative splitting method to solve the partial differential equations in option pricing problems. We focus on the Heston stochastic volatility model and the derived two-dimensional partial differential equation…
In this paper, a rapid and high accurate numerical method for pricing discrete single and double barrier knock-out call options is presented. According to the well-known Black-Scholes framework, the price of option in each monitoring date…
On the basis of the canonical quantization procedure of a system defined on a cubic lattice, we propose a new method, in which resolutions of unity expressed in terms of eigenvectors are naturally provided, to find eigenvectors of field…
A kink-based path integral method, previously applied to atomic systems, is modified and used to study molecular systems. The method allows the simultaneous evolution of atomic and electronic degrees of freedom. Results for CH$_4 $, NH$_3…
We present a new approach for the pricing of interest rate derivatives which allows a direct computation of option premiums without deriving a (Black-Scholes type) partial differential equation and without explicitly solving the stochastic…
Quantum mechanics in conical space is studied by the path integral method. It is shown that the curvature effect gives rise to an effective potential in the radial path integral. It is further shown that the radial path integral in conical…
The discrete time path integral Monte Carlo (PIMC) with a one-particle density matrix approximation is applied to study the quantum phase transition in the coupled double-well chain. To improve the convergence properties, the exact action…
Systems with constraints pose problems when they are quantized. Moreover, the Dirac procedure of quantization prior to reduction is preferred. The projection operator method of quantization, which can be most conveniently described by…
Semi-analytical pricing of American options in a time-dependent Ornstein-Uhlenbeck model was presented in [Carr, Itkin, 2020]. It was shown that to obtain these prices one needs to solve (numerically) a nonlinear Volterra integral equation…
This paper studies how to price and hedge options under stock models given as a path-dependent SDE solution. When the path-dependent SDE coefficients have Fr\'{e}chet derivatives, an option price is differentiable with respect to time and…
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 develop quantum algorithms for pricing Asian and barrier options under the Heston model, a popular stochastic volatility model, and estimate their costs, in terms of T-count, T-depth and number of logical qubits, on instances under…
The present letter gives a rigorous way from quantum to classical random walks by introducing an independent random fluctuation and then taking expectations based on a path integral approach.
In the paper, we develop a very fast and accurate method for pricing double barrier options with continuous monitoring in wide classes of L\'evy models; the calculations are in the dual space, and the Wiener-Hopf factorization is used. For…
The precise description of quantum nuclear fluctuations in atomistic modelling is possible by employing path integral techniques, which involve a considerable computational overhead due to the need of simulating multiple replicas of the…