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

• Published in: Condensed Matter Physics
• Date: 2011
• ISSN: 1607-324X
• Main Authors: Blazhyevskyi, L.F., Yanishevsky, V.S.
• Format: Article
• Language: English
• Published: Інститут фізики конденсованих систем НАН України 2011
• Online Access: https://nasplib.isofts.kiev.ua/handle/123456789/119975
• 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.

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...