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q-fin.PR2023
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,…
q-fin.PR2023
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…