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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| Дата: | 2011 |
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| Автори: | , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут фізики конденсованих систем НАН України
2011
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| Назва видання: | Condensed Matter Physics |
| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/119975 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Цитувати: | 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. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
irk-123456789-119975 |
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dspace |
| 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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