Can a Hamiltonian formulation provide new tools for obtaining solutions for op- tion pricing ? Two key concepts related to Hamiltonians are
It turns out, that the knowledge of all the eigenfunctions of a Hamiltonian yields an exact solution for a large class of path-dependent and path-independent options. If we take, for an example, barrier options - they can modelled by placing constraints on the eigen- functions of the Hamiltonian. In our next blog post we will review those aspects of quantum mechanics that are relevant for the analysis of option pricing.