2021/12/16 by Qi Chen, Chao Guo, Chen, Qi +1
Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #FOS: Economics and business #Pricing of Securities (q-fin.PR) #Quantum and electron transport phenomena #Spectroscopy and Quantum Chemical Studies #q-fin.PR
paper · pdf · doi:10.48550/arxiv.2112.09534
openalex publication_date 2021/12/16 · arxiv created 2022/06/10 · arxiv updated 2022/06/13 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
Path integral method in quantum mechanics provides a new thinking for barrier option pricing. For proportional step options, the option price changing process is similar to the one dimensional trapezoid potential barrier scattering problem in quantum mechanics; for double-barrier step options, the option price changing process is analogous to a particle moving in a finite symmetric square potential well. Using path integral method, the analytical expressions of pricing kernel and option price could be derived. Numerical results of option price as a function of underlying price, potential and exercise price are shown, which are consistent with the results given by mathematical method.