A model for stocks dynamics based on a non-Gaussian path integral

DOI10.1016/J.PHYSA.2018.11.044MaRDI QIDQ2156178OpenAlexWikidataFDO

Authors Giovanni Paolinelli, Gianni Arioli

Publication date 15 July 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1809.01342

zbMATH Keywords

gauge theoryfinancial marketspath integralfat tailsnon-Gaussian dynamicsquantum-finance

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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• A PATH INTEGRAL APPROACH TO DERIVATIVE SECURITY PRICING I: FORMALISM AND ANALYTICAL RESULTS
• A path integral based model for stocks and order dynamics
• A path integral way to option pricing
• Gauge geometry of financial markets
• Interest Rates and Coupon Bonds in Quantum Finance
• Introduction to Econophysics
• Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
• Pricing derivatives by path integral and neural networks
• Pricing exotic options in a path integral approach
• Probability distribution of returns in the Heston model with stochastic volatility
• Quantum Finance
• Space-time approach to non-relativistic quantum mechanics
• Stochastic calculus for assets with non-Gaussian price fluctuations
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• The path integral approach to financial modeling and options pricing

Cited in

(6)

• A non-Gaussian stock price model: options, credit and a multi-timescale memory
• Non-Gaussian distribution for stock returns and related stochastic differential equation
• Path integral Monte Carlo method for option pricing
• A path integral based model for stocks and order dynamics
• A stylized model of ‘Momentum’ processes: a research note
• Application of Bohmian mechanics to dynamics of prices of shares: Stochastic model of Bohm-Vigier from properties of price trajectories

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