Please use this identifier to cite or link to this item: https://doi.org/10.1016/j.physa.2003.10.080
Title: Hamiltonian and potentials in derivative pricing models: Exact results and lattice simulations
Authors: Baaquie, B.E. 
Corianò, C.
Srikant, M. 
Issue Date: 15-Mar-2004
Source: Baaquie, B.E., Corianò, C., Srikant, M. (2004-03-15). Hamiltonian and potentials in derivative pricing models: Exact results and lattice simulations. Physica A: Statistical Mechanics and its Applications 334 (3-4) : 531-557. ScholarBank@NUS Repository. https://doi.org/10.1016/j.physa.2003.10.080
Abstract: The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian formulation. We show here some applications of these methods for various potentials, which we have simulated via lattice Langevin and Monte Carlo algorithms, to the pricing of options. We focus on barrier or path dependent options, showing in some detail the computational strategies involved. © 2003 Elsevier B.V. All rights reserved.
Source Title: Physica A: Statistical Mechanics and its Applications
URI: http://scholarbank.nus.edu.sg/handle/10635/96762
ISSN: 03784371
DOI: 10.1016/j.physa.2003.10.080
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