Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets

DOI10.1007/s12190-016-1002-2zbMath1415.91284OpenAlexW3122507650MaRDI QIDQ1676977

Peng Zhang

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

zbMATH Keywords

mathematical financeWatson's lemmaparabolic cylinder functionsincomplete gamma functionsLévy density

Mathematics Subject Classification ID

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)

Fractional queues with catastrophes and their transient behaviour ⋮ Path integral Monte Carlo method for option pricing

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The path integral approach to financial modeling and options pricing
• Integro-differential equations for option prices in exponential Lévy models
• One-Parameter Semigroups for Linear Evolution Equations
• Option Pricing with Transaction Costs and Stochastic Interest Rate
• Quantum Finance
• Pricing exotic options in a path integral approach

This page was built for publication: Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets