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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| Published in: | Condensed Matter Physics |
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| Date: | 2011 |
| Main Authors: | , |
| Format: | Article |
| Language: | English |
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Інститут фізики конденсованих систем НАН України
2011
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| Online Access: | https://nasplib.isofts.kiev.ua/handle/123456789/119975 |
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| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | 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. |
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Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862545692563603456 |
|---|---|
| author | Blazhyevskyi, L.F. Yanishevsky, V.S. |
| author_facet | Blazhyevskyi, L.F. Yanishevsky, V.S. |
| 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. |
| collection | DSpace DC |
| container_title | Condensed Matter Physics |
| 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.
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.
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| first_indexed | 2025-11-25T06:40:55Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-119975 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 1607-324X |
| language | English |
| last_indexed | 2025-11-25T06:40:55Z |
| publishDate | 2011 |
| publisher | Інститут фізики конденсованих систем НАН України |
| record_format | dspace |
| spelling | Blazhyevskyi, L.F. Yanishevsky, V.S. 2017-06-10T14:11:11Z 2017-06-10T14:11:11Z 2011 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 https://nasplib.isofts.kiev.ua/handle/123456789/119975 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. en Інститут фізики конденсованих систем НАН України Condensed Matter Physics The path integral representation kernel of evolution operator in Merton-Garman model Континуальне представлення ядра оператора еволюцiї в моделi Мертона - Кармана Article published earlier |
| spellingShingle | The path integral representation kernel of evolution operator in Merton-Garman model Blazhyevskyi, L.F. Yanishevsky, V.S. |
| title | The path integral representation kernel of evolution operator in Merton-Garman model |
| title_alt | Континуальне представлення ядра оператора еволюцiї в моделi Мертона - Кармана |
| 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_short | 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 |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/119975 |
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