Option pricing, stochastic volatility, singular dynamics and constrained path integrals

DOI10.1016/j.physa.2013.08.057zbMath1402.91768OpenAlexW2081997732MaRDI QIDQ1782478

Sergio A. Hojman, Mauricio Contreras

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2013.08.057

zbMATH Keywords

stochastic volatilityoption pricingquantum mechanicssingular Lagrangian systemsDirac's methodconstrained Hamiltonian path integrals

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (6)

Multi-asset Black-Scholes model as a variable second class constrained dynamical system ⋮ Dynamic optimization and its relation to classical and quantum constrained systems ⋮ Estimating option Greeks under the stochastic volatility using simulation ⋮ The quantum dark side of the optimal control theory ⋮ Whiskered tori for presymplectic dynamical systems ⋮ Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• The path integral approach to financial modeling and options pricing
• Generalized autoregressive conditional heteroscedasticity
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING II: NUMERICAL METHODS
• Generalized Hamiltonian dynamics
• Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model
• Quantum Finance
• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing exotic options in a path integral approach

This page was built for publication: Option pricing, stochastic volatility, singular dynamics and constrained path integrals