The path integral representation kernel of evolution operator in Merton-Garman model
AbstractIn 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.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1106.5143.
Date of creation: Jun 2011
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Publication status: Published in Condens. Matter Phys., 2011, vol. 14, No. 2, 23001:1-16
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-07-13 (All new papers)
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