Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7382506 | Physica A: Statistical Mechanics and its Applications | 2014 | 27 Pages |
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.
Keywords
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Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Belal E. Baaquie, Yang Cao,