The path integral representation kernel of evolution operator in Merton-Garman model
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 propos...
Saved in:
| Date: | 2011 |
|---|---|
| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут фізики конденсованих систем НАН України
2011
|
| Series: | Condensed Matter Physics |
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/119975 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | The path integral representation kernel of evolution operator in Merton-Garman model / L.F. Blazhyevskyi, V.S. Yanishevsky // Condensed Matter Physics. — 2011. — Т. 14, № 2. — С. 23001:1-16. — Бібліогр.: 22 назв. — англ. |
Institution
Digital Library of Periodicals of National Academy of Sciences of Ukraine| Summary: | 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. |
|---|