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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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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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spelling irk-123456789-1199752017-06-11T03:03:37Z The path integral representation kernel of evolution operator in Merton-Garman model Blazhyevskyi, L.F. Yanishevsky, V.S. 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. В методi континуального iнтегрування побудовано ядро оператора еволюцiї для гамiльтонiану Мертона-Кармана. На основi ядра отримана формула для цiни опцiону, що узагальнює вiдому формулу Блека-Шоулса. Вказано також на можливi способи наближеного обчислення континуальних iнтегралiв. 2011 Article The path integral representation kernel of evolution operator in Merton-Garman model / L.F. Blazhyevskyi, V.S. Yanishevsky // Condensed Matter Physics. — 2011. — Т. 14, № 2. — С. 23001:1-16. — Бібліогр.: 22 назв. — англ. 1607-324X PACS: 03.65.-w., 89.65.Gh, 89.65.s, 02.50.r, 02.50.Cw DOI:10.5488/CMP.14.23001 arXiv:1106.5143 http://dspace.nbuv.gov.ua/handle/123456789/119975 en Condensed Matter Physics Інститут фізики конденсованих систем НАН України
institution Digital Library of Periodicals of National Academy of Sciences of Ukraine
collection DSpace DC
language English
description 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.
format Article
author Blazhyevskyi, L.F.
Yanishevsky, V.S.
spellingShingle Blazhyevskyi, L.F.
Yanishevsky, V.S.
The path integral representation kernel of evolution operator in Merton-Garman model
Condensed Matter Physics
author_facet Blazhyevskyi, L.F.
Yanishevsky, V.S.
author_sort Blazhyevskyi, L.F.
title The path integral representation kernel of evolution operator in Merton-Garman model
title_short The path integral representation kernel of evolution operator in Merton-Garman model
title_full The path integral representation kernel of evolution operator in Merton-Garman model
title_fullStr The path integral representation kernel of evolution operator in Merton-Garman model
title_full_unstemmed The path integral representation kernel of evolution operator in Merton-Garman model
title_sort path integral representation kernel of evolution operator in merton-garman model
publisher Інститут фізики конденсованих систем НАН України
publishDate 2011
url http://dspace.nbuv.gov.ua/handle/123456789/119975
citation_txt The path integral representation kernel of evolution operator in Merton-Garman model / L.F. Blazhyevskyi, V.S. Yanishevsky // Condensed Matter Physics. — 2011. — Т. 14, № 2. — С. 23001:1-16. — Бібліогр.: 22 назв. — англ.
series Condensed Matter Physics
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first_indexed 2023-10-18T20:35:53Z
last_indexed 2023-10-18T20:35:53Z
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