Multi-asset Black-Scholes model as a variable second class constrained dynamical system
type: Item
instance of: scholarly article
title: Multi-asset Black-Scholes model as a variable second class constrained dynamical system
zbMATH Open document ID: 1400.91582
author: R. Smith
published in: Physica A
publication date: 2018-11-13T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 91B80
Mathematics Subject Classification ID: 81S40
zbMATH DE Number: 6978215
zbMATH Keywords: multiasset Black-Scholes equation
zbMATH Keywords: option pricing
zbMATH Keywords: singular Lagrangian systems
zbMATH Keywords: Dirac's method
zbMATH Keywords: propagators
zbMATH Keywords: constrained Hamiltonian path integrals
MaRDI profile type: Publication
full work available at URL: j.physa.2016.03.063
OpenAlex ID: W2320020638
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DOI: 10.1016/J.PHYSA.2016.03.063
description: scientific article; zbMATH DE number 6978215