Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems (Q1782819)
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scientific article; zbMATH DE number 6939960
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| English | Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems |
scientific article; zbMATH DE number 6939960 |
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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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0.8579167
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0.8552093
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0.84746325
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0.8472135
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0.8466885
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0.84554774
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0.8455241
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0.8421315
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