most citedHamiltonian and Potentials in Derivative Pricing Models: Exact Results and Lattice Simulations

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cond-mat2000★ 4 cited

Simulation of Stochastic Volatility using Path Integration: Smiles and Frowns

Belal E. Baaquie, L. C. Kwek, M. Srikant

We apply path integration techniques to obtain option pricing with stochastic volatility using a generalized Black-Scholes equation known as the Merton and Garman equation. We nume…