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The path integral representation kernel of evolution operator in Merton-Garman model

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Listed:
  • L. F. Blazhyevskyi
  • V. S. Yanishevsky

Abstract

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.

Suggested Citation

  • L. F. Blazhyevskyi & V. S. Yanishevsky, 2011. "The path integral representation kernel of evolution operator in Merton-Garman model," Papers 1106.5143, arXiv.org.
  • Handle: RePEc:arx:papers:1106.5143
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    File URL: http://arxiv.org/pdf/1106.5143
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    Cited by:

    1. Zura Kakushadze, 2014. "Path Integral and Asset Pricing," Papers 1410.1611, arXiv.org, revised Aug 2016.

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