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

L. F. Blazhyevskyi and V. S. Yanishevsky

Papers from arXiv.org

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.

Date: 2011-06
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Citations: View citations in EconPapers (4)

Published in Condens. Matter Phys., 2011, vol. 14, No. 2, 23001:1-16

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