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

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...

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Bibliographic Details
Main Authors: Blazhyevskyi, L.F., Yanishevsky, V.S.
Format: Article
Language:English
Published: Інститут фізики конденсованих систем НАН України 2011
Series:Condensed Matter Physics
Online Access:http://dspace.nbuv.gov.ua/handle/123456789/119975
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http://dspace.nbuv.gov.ua/handle/123456789/119975

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