CEU Electronic Theses and Dissertations, 2015
| Author | Nagovitcyn, Denis |
|---|---|
| Title | Pathwise approximation of the Feynman-Kac formula |
| Summary | In the current thesis solution of the real-valued Schrodinger equation in case of time-homogeneous Ito diffudion was proved based on discrete approximation technique. Discretization of the solution, known as the Feynman-Kac formula, was based on the "twist and shrink" construction of Brownian motion. Application to the Black-Scholes option pricing model was given. |
| Supervisor | Szabados Tomas |
| Department | Mathematics MSc |
| Full text | https://www.etd.ceu.edu/2015/nagovitcyn_denis.pdf |
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