dorsal/arxiv
View SchemaHigh-resolution path-integral development of financial options
| Authors | Lester Ingber |
|---|---|
| Categories | |
| ArXiv ID | physics/0001048 |
| URL | https://arxiv.org/abs/physics/0001048 |
| DOI | 10.1016/S0378-4371(00)00229-6 |
| Journal | Physica A 283 (3-4) pp. 529-558 (2000) |
Abstract
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and also consider multi-factor models including stochastic volatility. Daily Eurodollar futures prices and implied volatilities are fit to determine exponents of functional behavior of diffusions using methods of global optimization, Adaptive Simulated Annealing (ASA), to generate tight fits across moving time windows of Eurodollar contracts. These short-time fitted distributions are then developed into long-time distributions using a robust non-Monte Carlo path-integral algorithm, PATHINT, to generate prices and derivatives commonly used by option traders.
{
"annotation_id": "e82bebb1-58d6-400a-9b7a-7b73194d9e24",
"date_created": "2026-03-02T18:00:29.399000Z",
"date_modified": "2026-03-02T18:00:29.399000Z",
"file_hash": "b932d54cd70f7076dd671732b9fe67444833e39a6c64d9224ac0358bfec03722",
"private": false,
"record": {
"abstract": "The Black-Scholes theory of option pricing has been considered for many years\nas an important but very approximate zeroth-order description of actual market\nbehavior. We generalize the functional form of the diffusion of these systems\nand also consider multi-factor models including stochastic volatility. Daily\nEurodollar futures prices and implied volatilities are fit to determine\nexponents of functional behavior of diffusions using methods of global\noptimization, Adaptive Simulated Annealing (ASA), to generate tight fits across\nmoving time windows of Eurodollar contracts. These short-time fitted\ndistributions are then developed into long-time distributions using a robust\nnon-Monte Carlo path-integral algorithm, PATHINT, to generate prices and\nderivatives commonly used by option traders.",
"arxiv_id": "physics/0001048",
"authors": [
"Lester Ingber"
],
"categories": [
"physics.comp-ph",
"cs.CE",
"physics.data-an",
"q-fin.PR"
],
"doi": "10.1016/S0378-4371(00)00229-6",
"journal_ref": "Physica A 283 (3-4) pp. 529-558 (2000)",
"title": "High-resolution path-integral development of financial options",
"url": "https://arxiv.org/abs/physics/0001048"
},
"schema_id": "dorsal/arxiv",
"source": {
"execution_id": "c5eb1d4b-8705-4321-92ee-ab9ae738300c",
"id": "arXiv Dataset IDs",
"type": "Model",
"variant": "snapshot-2026-03-01",
"version": "0.1.0"
},
"user_id": 1000002
}