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Hamiltonian and Potentials in Derivative Pricing Models: Exact Results and Lattice Simulations

Belal E. Baaquie·Claudio Coriano·Marakani Srikant
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Abstract

The pricing of options, warrants and other derivative securities is one of the great success of financial economics. These financial products can be modeled and simulated using quantum mechanical instruments based on a Hamiltonian formulation. We show here some applications of these methods for various potentials, which we have simulated via lattice Langevin and Monte Carlo algorithms, to the pricing of options. We focus on barrier or path dependent options, showing in some detail the computational strategies involved.

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Belal E. Baaquie, Claudio Coriano, Marakani Srikant. 2003-05-14. Hamiltonian and Potentials in Derivative Pricing Models: Exact Results and Lattice Simulations. https://doi.org/10.1016/j.physa.2003.10.080

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