The path integral representation kernel of evolution operator in Merton-Garman model
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 propos...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Condensed Matter Physics
2011-06-01
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| Series: | Condensed Matter Physics |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.5488/CMP.14.23001 |