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El modelo de Vasicek y la integral de trayectoria de Feynman

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  • Francisco Ortiz-Arango

    (Universidad Panamericana)

  • Francisco Venegas-Martínez

    ()
    (Instituto Politécnico Nacional)

Abstract

The aim of this paper is to show the convenience of using mathematical tools from quantum mechanics to solve some financial problems. In particular, the Vasicek short-rate model in continuous time is discussed in the framework of the Feynman path integral. To do this, the Lagrangian of the system is obtained from the Hamiltonian associate to the backward Fokker-Planck equation. Subsequently, the action is calculated to obtain the price of a zero-coupon bond and its forward rate. In conclusion, the paper attempts to show that quantum mechanics is an effective alternative in solving some complex problems that arise in pricing derivatives.

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File URL: http://www.csf.itesm.mx/egade/publicaciones/articulos/FVMVF.pdf
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Bibliographic Info

Article provided by Tecnológico de Monterrey, Campus Ciudad de México in its journal Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).

Volume (Year): 2 (2008)
Issue (Month): 1 ()
Pages: 9-19

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Handle: RePEc:ega:rafega:200802

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Keywords: Productos derivados;

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