Hamiltonian and Potentials in Derivative Pricing Models: Exact Results and Lattice Simulations

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dc.creatorBaaquie, Belal E.
dc.creatorCoriano, Claudio
dc.creatorSrikant, Marakani
dc.date2002-11-21
dc.date2003-05-14
dc.date.accessioned2026-07-07T12:16:38Z
dc.date.available2026-07-07T12:16:38Z
dc.descriptionThe 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.
dc.description27 pages, 11 figures 1 subsection added (4.1). Slightly longer appendix
dc.identifierhttps://arxiv.org/abs/cond-mat/0211489
dc.identifierhttp://arxiv.org/abs/cond-mat/0211489
dc.identifierPhysicaA334:531-557,2004
dc.identifierdoi:10.1016/j.physa.2003.10.080
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/211864
dc.subjectSoft Condensed Matter
dc.subjectStatistical Mechanics
dc.subjectHigh Energy Physics - Lattice
dc.subjectHigh Energy Physics - Phenomenology
dc.subjectPricing of Securities
dc.titleHamiltonian and Potentials in Derivative Pricing Models: Exact Results and Lattice Simulations
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