A Hamiltonian approach to floating barrier option pricing

DOI10.1007/s10955-023-03209-0zbMath1530.91565arXiv2209.12542OpenAlexW4389338908MaRDI QIDQ6140930

No author found.

Publication date: 2 January 2024

Published in: Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.12542

zbMATH Keywords

quantum theoryHamiltonian approachoption pricingpricing kernel

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• American type geometric step options
• The path integral approach to financial modeling and options pricing
• Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
• Step Options
• Pricing Options With Curved Boundaries¹
• ANALYTICAL PATH-INTEGRAL PRICING OF DETERMINISTIC MOVING-BARRIER OPTIONS UNDER NON-GAUSSIAN DISTRIBUTIONS
• Quantum Finance
• On stochastic differential equations

This page was built for publication: A Hamiltonian approach to floating barrier option pricing