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Proceedings Paper

Path integrals in fluctuating markets
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Paper Abstract

In this short note we propose an approach for calculating option prices in financial markets in the framework of path integrals. We review various techniques from engineering and physics applied to the theory of financial risks. We explore how the path integral methods may be used to study financial markets quantitatively and we also suggest a method in calculating transition probabilities for option pricing using real data in that framework.

Paper Details

Date Published: 25 May 2004
PDF: 17 pages
Proc. SPIE 5471, Noise in Complex Systems and Stochastic Dynamics II, (25 May 2004); doi: 10.1117/12.548795
Show Author Affiliations
Frederic D. R. Bonnet, Univ. of Adelaide (Australia)
Andrew G. Allison, Univ. of Adelaide (Australia)
Derek Abbott, Univ. of Adelaide (Australia)


Published in SPIE Proceedings Vol. 5471:
Noise in Complex Systems and Stochastic Dynamics II
Zoltan Gingl, Editor(s)

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