Related papers: A Path Integral Approach for Time-Dependent Hamilt…
We give a pragmatic/pedagogical discussion of using Euclidean path integral in asset pricing. We then illustrate the path integral approach on short-rate models. By understanding the change of path integral measure in the Vasicek/Hull-White…
An efficient computational algorithm to price financial derivatives is presented. It is based on a path integral formulation of the pricing problem. It is shown how the path integral approach can be worked out in order to obtain fast and…
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…
The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic…
We show how effective-potential path-integrals methods, stemming on a simple and nice idea originally due to Feynman and successfully employed in Physics for a variety of quantum thermodynamics applications, can be used to develop an…
In the framework of Black-Scholes-Merton model of financial derivatives, a path integral approach to option pricing is presented. A general formula to price European path dependent options on multidimensional assets is obtained and…
We use a path integral approach for solving the stochastic equations underlying the financial markets, and we show the equivalence between the path integral and the usual SDE and PDE methods. We analyze both the one-dimensional and the…
We present a path integral method to derive closed-form solutions for option prices in a stochastic volatility model. The method is explained in detail for the pricing of a plain vanilla option. The flexibility of our approach is…
Scalar field systems containing higher derivatives are studied and quantized by Hamiltonian path integral formalism. A new point to previous quantization methods is that field functions and their derivatives with time are considered as…
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…
A calculation is presented that shows that Feynman's path integral implies Ostrogradsky's Hamiltonian for nonsingular Lagrangians with second derivatives. The procedure employs the stationary phase approximation to obtain the limiting…
Recently a path integral formalism has been proposed by the author which gives the time evolution of moments of slow variables in a Hamiltonian statistical system. This closure relies on evaluating the informational discrepancy of a time…
In this paper, a time substitution as used by Duru and Kleinert in their treatment of the hydrogen atom with path integrals is performed to price timer options under stochastic volatility models. We present general pricing formulas for both…
We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski's path integral model, more precisely we choose a different action, which can be tuned to different time…
In this paper I develop a new computational method for pricing path dependent options. Using the path integral representation of the option price, I show that in general it is possible to perform analytically a partial averaging over the…
This paper introduces a no-arbitrage, Monte Carlo-free approach to pricing path-dependent interest rate derivatives. The Heath-Jarrow-Morton model gives arbitrage-free contingent claims prices but is infinite-dimensional, making traditional…
Recent progress in the development of efficient computational algorithms to price financial derivatives is summarized. A first algorithm is based on a path integral approach to option pricing, while a second algorithm makes use of a neural…
Feynman path integrals are now a standard tool in quantum physics and their use in differential geometry leads to new mathematical insights. A logical treatment of quantum phenomena seems to require a sustained mathematical analysis of path…
A systematic classification of Feynman path integrals in quantum mechanics is presented and a table of solvable path integrals is given which reflects the progress made during the last ten years or so, including, of course, the main…
We present a path integral formulation of 't Hooft's derivation of quantum from classical physics. Our approach is based on two concepts: Faddeev-Jackiw's treatment of constrained systems and Gozzi's path integral formulation of classical…