%0 Journal Article
%T The path integral representation kernel of evolution operator in Merton-Garman model
%A L.F. Blazhyevskyi
%A V.S. Yanishevsky
%J Condensed Matter Physics
%D 2011
%I Institute for Condensed Matter Physics
%X In the framework of path integral the evolution operator kernel for the Merton-Garman Hamiltonian is constructed. Based on this kernel option formula is obtained, which generalizes the well-known Black-Scholes result. Possible approximation numerical schemes for path integral calculations are proposed.
%K path integration
%K evolution operator kernel
%K option pricing
%K Black-Scholes formula
%K Merton-Garman model
%U http://dx.doi.org/10.5488/CMP.14.23001