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Search: subject:"Dirac’s method"
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Constrained Hamiltonian path integrals
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Dirac’s method
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Option pricing
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Singular Lagrangian systems
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Fokker–Planck equation
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Quantum mechanics
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Stochastic volatility
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Stochastic volatility models
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Contreras G., Mauricio
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Contreras, Mauricio
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Hojman, Sergio A.
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Physica A: Statistical Mechanics and its Applications
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Option pricing, stochastic volatility, singular dynamics and constrained path integrals
Contreras, Mauricio
;
Hojman, Sergio A.
- In:
Physica A: Statistical Mechanics and its Applications
393
(
2014
)
C
,
pp. 391-403
class constraints, which must be dealt with using
Dirac’s
method
for constrained systems (Dirac, 1958,1967) [22,23] in …
Persistent link: https://www.econbiz.de/10011058375
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2
Stochastic volatility models at ρ=±1 as second class constrained Hamiltonian systems
Contreras G., Mauricio
- In:
Physica A: Statistical Mechanics and its Applications
405
(
2014
)
C
,
pp. 289-302
models at ρ=±1 correspond to a constrained system. To study the dynamics in an appropriate form,
Dirac’s
method
for …
Persistent link: https://www.econbiz.de/10011062671
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