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https://hdl.handle.net/2440/28485
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Type: | Conference paper |
Title: | Path integrals in fluctuating markets |
Author: | Bonnet, F. Allison, A. Abbott, D. |
Citation: | Noise in complex systems and stochastic dynamics II : 26-28 May, 2004, Maspalomas, Gran Canaria, Spain / Zoltán Gingl (ed.) |
Publisher: | SPIE |
Publisher Place: | CD-ROM |
Issue Date: | 2004 |
Series/Report no.: | Proceedings of SPIE--the International Society for Optical Engineering ; 5471. |
ISBN: | 0-8194-5393-5 |
ISSN: | 0277-786X 1996-756X |
Conference Name: | Fluctuations and Noise (2004 : Gran Canaria Island, Spain) |
Editor: | Kish, L.B. |
Statement of Responsibility: | Frederic D. R. Bonnet, Andrew G. Allison, and Derek Abbott |
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 appliedto 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. |
Description: | ©2004 COPYRIGHT SPIE--The International Society for Optical Engineering |
DOI: | 10.1117/12.548795 |
Published version: | http://dx.doi.org/10.1117/12.548795 |
Appears in Collections: | Aurora harvest 6 Electrical and Electronic Engineering publications |
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