Path integrals in fluctuating markets

Frederic D. R. Bonnet; Andrew G. Allison; Derek Abbott

doi:10.1117/12.548795

25 May 2004 Path integrals in fluctuating markets

Frederic D. R. Bonnet, Andrew G. Allison, Derek Abbott

Proceedings Volume 5471, Noise in Complex Systems and Stochastic Dynamics II; (2004) https://doi.org/10.1117/12.548795
Event: Second International Symposium on Fluctuations and Noise, 2004, Maspalomas, Gran Canaria Island, Spain

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 applied to 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.

Citation Download Citation

Frederic D. R. Bonnet, Andrew G. Allison, and Derek Abbott "Path integrals in fluctuating markets", Proc. SPIE 5471, Noise in Complex Systems and Stochastic Dynamics II, (25 May 2004); https://doi.org/10.1117/12.548795

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