Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets
DOI10.1007/s12190-016-1002-2zbMath1415.91284OpenAlexW3122507650MaRDI QIDQ1676977
Publication date: 10 November 2017
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12190-016-1002-2
mathematical financeWatson's lemmaparabolic cylinder functionsincomplete gamma functionsLévy density
Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of manifolds of mappings to the sciences (58D30) Asymptotic expansions of solutions to ordinary differential equations (34E05) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)
Related Items (2)
Cites Work
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- The path integral approach to financial modeling and options pricing
- Integro-differential equations for option prices in exponential Lévy models
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- Quantum Finance
- Pricing exotic options in a path integral approach
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