Search Results - subject:"path Integrals"

A statistical field approach to capital accumulation

Gosselin, Pierre; Lotz, Aïleen; Wambst, Marc - 2021

Persistent link: https://www.econbiz.de/10012618377

A path-integral approximation for non-linear diffusions

Capriotti, Luca - In: Quantitative finance 20 (2020) 1, pp. 29-36

Persistent link: https://www.econbiz.de/10012194852

A path integral approach to business cycle models with large number of agents

Gosselin, Pierre; Lotz, Aïleen; Wambst, Marc - 2020

Persistent link: https://www.econbiz.de/10012296996

A Lévy area between Brownian motion and rough paths with applications to robust nonlinear filtering and rough partial differential equations

Diehl, Joscha; Oberhauser, Harald; Riedel, Sebastian - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 161-181

We give meaning to differential equations with a rough path term and a Brownian noise term and study their regularity, that is we are interested in equations of the type Stη=S0+∫0ta(Srη)dr+∫0tb(Srη)∘dBr+∫0tc(Srη)dηr where η is a deterministic geometric, step-2 rough path and B is a...

Persistent link: https://www.econbiz.de/10011077896

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

Stochastic volatility models have been widely studied and used in the financial world. The Heston model (Heston, 1993) [7] is one of the best known models to deal with this issue. These stochastic volatility models are characterized by the fact that they explicitly depend on a correlation...

Persistent link: https://www.econbiz.de/10011058375

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

propagator of the bi-dimensional Black–Scholes equation was obtained in Lemmens et al. (2008) in terms of the path integrals, and …

Persistent link: https://www.econbiz.de/10011062671

Path integral approach to Asian options in the Black–Scholes model

Devreese, J.P.A.; Lemmens, D.; Tempere, J. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 4, pp. 780-788

We derive a closed-form solution for the price of an average strike as well as an average price geometric Asian option, by making use of the path integral formulation. Our results are compared to a numerical Monte Carlo simulation. We also develop a pricing formula for an Asian option with a...

Persistent link: https://www.econbiz.de/10010590394

Life-space foam: A medium for motivational and cognitive dynamics

Ivancevic, Vladimir; Aidman, Eugene - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 2, pp. 616-630

General stochastic dynamics, developed in a framework of Feynman path integrals, have been applied to Lewinian field …

Persistent link: https://www.econbiz.de/10010590376

The Path Integral Approach to Financial Modeling and Options Pricing

Linetsky, Vadim - 1997

path integrals (Feynman–Kac formula). The path integral representation of transition probability density (Green's function …) explicitly satisfies the diffusion PDE. Gaussian path integrals admit a closed-form solution given by the Van Vleck formula …. Analytical approximations are obtained by means of the semiclassical (moments) expansion. Difficult path integrals are computed …

Persistent link: https://www.econbiz.de/10009477486

Diagrammatic computation of the random flight motion

Hatamian, S.T - In: Physica A: Statistical Mechanics and its Applications 341 (2004) C, pp. 401-432

We present a perturbation theory by extending a prescription due to Feynman for computing the probability density function for the random flight motion. The method can be applied to a wide variety of otherwise difficult circumstances. The series for the exact moments, if not the distribution...

Persistent link: https://www.econbiz.de/10011063634