Multi-asset Black-Scholes model as a variable second class constrained dynamical system (Q1619629)
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scientific article; zbMATH DE number 6978215
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multi-asset Black-Scholes model as a variable second class constrained dynamical system |
scientific article; zbMATH DE number 6978215 |
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Multi-asset Black-Scholes model as a variable second class constrained dynamical system (English)
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13 November 2018
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multiasset Black-Scholes equation
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option pricing
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singular Lagrangian systems
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Dirac's method
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propagators
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constrained Hamiltonian path integrals
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