Please use this identifier to cite or link to this item: 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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