Physics – Condensed Matter – Soft Condensed Matter
Scientific paper
2002-08-09
Physics
Condensed Matter
Soft Condensed Matter
10 pages, 4 figures, presented by C.Coriano at the Intl. Workshop "Nonlinear Physics, THeory and Experiment II", Gallipoli, Le
Scientific paper
Quantum Finance represents the synthesis of the techniques of quantum theory (quantum mechanics and quantum field theory) to theoretical and applied finance. After a brief overview of the connection between these fields, we illustrate some of the methods of lattice simulations of path integrals for the pricing of options. The ideas are sketched out for simple models, such as the Black-Scholes model, where analytical and numerical results are compared. Application of the method to nonlinear systems is also briefly overviewed. More general models, for exotic or path-dependent options are discussed.
Baaquie Belal E.
Coriano' Claudio
Srikant Marakani
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