1 citations · 1 across the 3 of their papers we have counts for
4 papers
A Hamiltonian Approach to Barrier Option Pricing Under Vasicek Model
Chao Guo, Ning Yao
In this paper, we study option pricing under Vasicek Model by a Hamiltonian approach. Since the interest rate changes with time, we split the time to maturity into infinite steps,…
Path Integral Method for Pricing Proportional Step Double-Barrier Option with Time Dependent Parameters
Qi Chen, Chao Guo
Path integral method in quantum mechanics provides a new thinking for barrier option pricing. For proportional double-barrier step (PDBS) options, the option price changing process…
A Hamiltonian Approach to Floating Barrier Option Pricing
Qi Chen, Hong-tao Wang, Chao Guo
Hamiltonian approach in quantum mechanics provides a new thinking for barrier option pricing. For proportional floating barrier step options, the option price changing process is s…
Path Integral Method for Proportional Step and Proportional Double-Barrier Step Option Pricing
Qi Chen, Chao Guo
Path integral method in quantum mechanics provides a new thinking for barrier option pricing. For proportional step options, the option price changing process is similar to the one…