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The path integral representation kernel of evolution operator in Merton-Garman model
path integration evolution operator kernel option pricing Black-Scholes formula Merton-Garman model
2011/7/5
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 Bla...
In this paper we analytically study the pricing of the arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral...
A maximum principle for forward-backward stochastic Volterra integral equations and applications in finance
Forward-backward stochastic Volterra integral equations Adapted
2010/10/20
This paper formulates and studies a stochastic maximum principle for forward-backward stochastic Volterra integral equations (FBSVIEs in short), while the control area is assumed to be convex. Then a ...
Path integral approach to Asian options in the Black-Scholes model
Path integral Asian options Black-Scholes model
2010/11/1
We derive a closed-form solution for the price of an average price as well as an average strike
geometric Asian option, by making use of the path integral formulation. Our results are compared to a n...
Appraisal of a contour integral method for the Black-Scholes and Heston equations
matrix exponential Laplace transform numerical contour integration financial option pricing
2010/11/3
A contour integral method recently proposed by Weideman [IMA J. Numer. Anal., to appear] for
integrating semi-discrete advection-diffusion PDEs, is extended for application to some of the important e...
A path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
integral option pricing formulas applications stochastic volatility interest rate models
2010/12/20
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 f...