Article ID Journal Published Year Pages File Type
7382506 Physica A: Statistical Mechanics and its Applications 2014 27 Pages PDF
Abstract
The acceleration Lagrangian is defined, and the classical solution of the system in Euclidean time is solved by choosing proper boundary conditions. The conditional probability distribution of final position given the initial position is obtained from the transition amplitude. The volatility is the standard deviation of the conditional probability distribution. Using the conditional probability and the path integral method, the martingale condition is applied, and one of the parameters in the Lagrangian is fixed. The call option price is obtained using the conditional probability and the path integral method.
Related Topics
Physical Sciences and Engineering Mathematics Mathematical Physics
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