Related papers: Path Integral Method for Pricing Proportional Step…
It is wellknown that the Feynman kernel for the free particle on the half-line can be expressed as a sum over classical paths if we take the contribution from the reflected path into account. The minus sign for the reflected path needs to…
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…
An American option grants the holder the right to select the time at which to exercise the option, so pricing an American option entails solving an optimal stopping problem. Difficulties in applying standard numerical methods to complex…
We develop a conditional sampling scheme for pricing knock-out barrier options under the Linear Transformations (LT) algorithm from Imai and Tan (2006). We compare our new method to an existing conditional Monte Carlo scheme from Glasserman…
A specific class of explicitly time-dependent potentials is studied by means of path integrals. For this purpose a general formalism to treat explicitly time-dependent space-time transformations in path integrals is sketched. An explicit…
In mathematical finance a popular approach for pricing options under some Levy model is to consider underlying that follows a Poisson jump diffusion process. As it is well known this results in a partial integro-differential equation (PIDE)…
We extend the approach of Carr, Itkin and Muravey, 2021 for getting semi-analytical prices of barrier options for the time-dependent Heston model with time-dependent barriers by applying it to the so-called $\lambda$-SABR stochastic…
We present a new path integral method to analyze stochastically perturbed ordinary differential equations with multiple time scales. The objective of this method is to derive from the original system a new stochastic differential equation…
This paper deals with the problem of discrete-time option pricing by the mixed fractional version of Merton model with transaction costs. By a mean-self-financing delta hedging argument in a discrete-time setting, a European call option…
In this paper we introduce a new approach to model-free path-dependent option pricing. We first introduce a general duality result for linear optimisation problems over signed measures introduced in [3] and show how the the problem of…
The phase-integral method (PIM) is an asymptotic method of the geometrical optics or semi-classical type for solving approximately, but in many cases very accurately, a wide class of differential equations in physics. Unlike the related…
A theorem that constructs a path integral solution for general second order partial differential equations is specialized to obtain path integrals that are solutions of elliptic, parabolic, and hyperbolic linear second order partial…
We introduce a path sampling method for the computation of rate constants for systems with a highly diffusive character. Based on the recently developed algorithm of transition interface sampling (TIS) this procedure increases the…
We derive two path integral estimators for the derivative of the quantum mechanical potential of mean force (PMF), which may be numerically integrated to yield the PMF. For the first estimator, we perform the differentiation on the exact…
In perturbative calculations of quantum mechanical path integrals in curvilinear coordinates, Feynman diagrams involve multiple temporal integrals over products of distributions, which are mathematically undefined. We derive simple rules…
In this short paper, in order to price occupation-time options, such as (double-barrier) step options and quantile options, we derive various joint distributions of a mixed-exponential jump-diffusion process and its occupation times of…
Path integrals are a central tool when it comes to describing quantum or thermal fluctuations of particles or fields. Their success dates back to Feynman who showed how to use them within the framework of quantum mechanics. Since then, path…
Both Bohmian mechanics, a version of quantum mechanics with trajectories, and Feynman's path integral formalism have something to do with particle paths in space and time. The question thus arises how the two ideas relate to each other. In…
The essence of the path integral method in quantum physics can be expressed in terms of two relations between unitary propagators, describing perturbations of the underlying system. They inherit the causal structure of the theory and its…
Stochastic quantization in physics has been considered to provide a path integral representation of a probability distribution for Ito processes. It has been indicated that the stochastic quantization can involve a potential term, if the…