Related papers: Path Integral Method for Pricing Proportional Step…
In this paper, we investigate a numerical algorithm for the pricing of swing options, relying on the so-called optimal quantization method. The numerical procedure is described in details and numerous simulations are provided to assert its…
This paper provides a pedagogical introduction to the quantum mechanical path integral and its use in proving index theorems in geometry, specifically the Gauss-Bonnet-Chern theorem and Lefschetz fixed point theorem. It also touches on some…
A new framework for pricing the European currency option is developed in the case where the spot exchange rate fellows a time-changed fractional Brownian motion. An analytic formula for pricing European foreign currency option is proposed…
In this article, we study the problem of pricing defaultable bond with discrete default intensity and barrier under constant risk free short rate using higher order binary options and their integrals. In our credit risk model, the risk free…
In the present paper we present a finite element approach for option pricing in the framework of a well-known stochastic volatility model with jumps, the Bates model. In this model the asset log-returns are assumed to follow a…
American options are studied in a general discrete market in the presence of proportional transaction costs, modelled as bid-ask spreads. Pricing algorithms and constructions of hedging strategies, stopping times and martingale…
Quantum transition amplitudes are formulated for a model system with local internal time, using path integrals. The amplitudes are shown to be more regular near a turning point of internal time than could be expected based on existing…
We propose a path integral formulation for scale invariant quantum field theories. We do it by modifying the functional integration measure in such a way that the partition function is always exactly scale invariant, at the cost of having…
The goal of this paper is to define stochastic integrals and to solve stochastic differential equations for typical paths taking values in a possibly infinite dimensional separable Hilbert space without imposing any probabilistic structure.…
Recurrent tasks such as pricing, calibration and risk assessment need to be executed accurately and in real-time. Simultaneously we observe an increase in model sophistication on the one hand and growing demands on the quality of risk…
Subdiffusion is a well established phenomenon in physics. In this paper we apply the subdiffusive dynamics to analyze financial markets. We focus on the financial aspect of time fractional diffusion model with moving boundary i.e. American…
A computational technique borrowed from the physical sciences is introduced to obtain accurate closed-form approximations for the transition probability of arbitrary diffusion processes. Within the path integral framework the same technique…
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…
We consider the pricing problem related to payoffs that can have discontinuities of polynomial growth. The asset price dynamic is modeled within the Black and Scholes framework characterized by a stochastic volatility term driven by a…
Employing probabilistic techniques we compute best possible upper and lower bounds on the price of an option on one or two assets with continuous piecewise linear payoff function based on prices of simple call options of possibly distinct…
American options in a multi-asset market model with proportional transaction costs are studied in the case when the holder of an option is able to exercise it gradually at a so-called mixed (randomised) stopping time. The introduction of…
A path integral method, combined with atomistic spin dynamics simulations, has been developed to calculate thermal quantum expectation values using a classical approach. In this study, we show how to treat Hamiltonians with non-linear…
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…
Dimerized quantum spin systems may appear under several circumstances, e.g\ by a modulation of the antiferromagnetic exchange coupling in space, or in frustrated quantum antiferromagnets. In general, such systems display a quantum phase…
In this contribution I discuss a path integral approach for the quantum motion on two-dimensional spaces according to Koenigs, for short ``Koenigs-Spaces''. Their construction is simple: One takes a Hamiltonian from two-dimensional flat…