El modelo de Vasicek y la integral de trayectoria de Feynman

Francisco Ortiz-Arango () and Francisco Venegas-Martínez

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2008, vol. 2, issue 1, 9-19

Abstract: The aim of this paper is to show the convenience of using mathematical tools from quantum mechanics to solve some financial problems. In particular, the Vasicek short-rate model in continuous time is discussed in the framework of the Feynman path integral. To do this, the Lagrangian of the system is obtained from the Hamiltonian associate to the backward Fokker-Planck equation. Subsequently, the action is calculated to obtain the price of a zero-coupon bond and its forward rate. In conclusion, the paper attempts to show that quantum mechanics is an effective alternative in solving some complex problems that arise in pricing derivatives

Keywords: Productos; derivados (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200802

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