Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems

DOI10.1016/j.physa.2014.03.030zbMath1402.91531OpenAlexW2126218630MaRDI QIDQ1782819

Mauricio Contreras G.

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2014.03.030

zbMATH Keywords

Fokker-Planck equationoption pricingsingular Lagrangian systemsstochastic volatility modelsDirac's methodconstrained Hamiltonian path integrals

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Path integrals in quantum mechanics (81S40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Fokker-Planck equations (35Q84)

Related Items (4)

Multi-asset Black-Scholes model as a variable second class constrained dynamical system ⋮ Dynamic optimization and its relation to classical and quantum constrained systems ⋮ The quantum dark side of the optimal control theory ⋮ Endogenous stochastic arbitrage bubbles and the Black-Scholes model

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