• Title/Summary/Keyword: Feynman-Kac formula

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THE PRICING OF VULNERABLE OPTIONS UNDER A CONSTANT ELASTICITY OF VARIANCE MODEL

  • U, Junhui;Kim, Donghyun;Yoon, Ji-Hun
    • Journal of the Chungcheong Mathematical Society
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    • v.33 no.2
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    • pp.181-195
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    • 2020
  • This paper suggests the price of vulnerable European option under a constant elasticity of variance model by using asymptotic analysis technique and obtains the approximated solution of the option price. Finally, we illustrate an accuracy of the vulnerable option price so that the approximate solution is well-defined.

AN APPROACH TO SOLUTION OF THE SCHRÖDINGER EQUATION USING FOURIER-TYPE FUNCTIONALS

  • Chang, Seung Jun;Choi, Jae Gil;Chung, Hyun Soo
    • Journal of the Korean Mathematical Society
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    • v.50 no.2
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    • pp.259-274
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    • 2013
  • In this paper, we consider the Fourier-type functionals on Wiener space. We then establish the analytic Feynman integrals involving the ${\diamond}$-convolutions. Further, we give an approach to solution of the Schr$\ddot{o}$dinger equation via Fourier-type functionals. Finally, we use this approach to obtain solutions of the Schr$\ddot{o}$dinger equations for harmonic oscillator and double-well potential. The Schr$\ddot{o}$dinger equations for harmonic oscillator and double-well potential are meaningful subjects in quantum mechanics.