Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems (Q1782819)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems |
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Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems (English)
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20 September 2018
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Fokker-Planck equation
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stochastic volatility models
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option pricing
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singular Lagrangian systems
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Dirac's method
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constrained Hamiltonian path integrals
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