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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...
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...