The path integral representation kernel of evolution operator in Merton-Garman model
Mathematical Physics
2011-06-28 v1 math.MP
Pricing of Securities
Abstract
In the framework of path integral the evolution operator kernel for the Merton-Garman Hamiltonian is constructed. Based on this kernel option formula is obtained, which generalizes the well-known Black-Scholes result. Possible approximation numerical schemes for path integral calculations are proposed.
Cite
@article{arxiv.1106.5143,
title = {The path integral representation kernel of evolution operator in Merton-Garman model},
author = {L. F. Blazhyevskyi and V. S. Yanishevsky},
journal= {arXiv preprint arXiv:1106.5143},
year = {2011}
}
Comments
16 pages