The path integral representation kernel of evolution operator in Merton-Garman model

Details The path integral representation kernel of evolution operator in Merton-Garman model The path integral representation kernel of evolution operator in Merton-Garman model

2011-06-25

arxiv.org/abs/1106.5143v1

Condens. Matter Phys., 2011, vol. 14, No. 2, 23001:1-16

Physics

Mathematical Physics

16 pages

Scientific paper

10.5488/CMP.14.23001

In the framework of path integral the evolution operator kernel for the
Merton-Garman Hamiltonian is constructed. Based on this kernel option formula
is obtained, which generalizes the well-known Black-Scholes result. Possible
approximation numerical schemes for path integral calculations are proposed.

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