The path integral representation kernel of evolution operator in Merton-Garman model
arXiv:1106.5143 · doi:10.5488/CMP.14.23001
Abstract
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.
16 pages