The Citing articles tool gives a list of articles citing the current article. The citing articles come from EDP Sciences database, as well as other publishers participating in CrossRef Cited-by Linking Program . You can set up your personal account to receive an email alert each time this article is cited by a new article (see the menu on the right-hand side of the abstract page).
Cited article:
Belal E. Baaquie
J. Phys. I France, 7 12 (1997) 1733-1753
This article has been cited by the following article(s):
51 articles
Dynamics of Lie symmetry, Paul-Painlevé approach, bifurcation aalysis to the Ivancevic option pricing model via a optimal system of Lie subalgebra
Ibtehal Alazman AIMS Mathematics 10 (4) 8965 (2025) https://doi.org/10.3934/math.2025411
Optimal lock-down intensity: A stochastic pandemic control approach of path integral
Paramahansa Pramanik Computational and Mathematical Biophysics 11 (1) (2023) https://doi.org/10.1515/cmb-2023-0110
Optimization of a dynamic profit function using Euclidean path integral
Paramahansa Pramanik and Alan M. Polansky SN Business & Economics 4 (1) (2023) https://doi.org/10.1007/s43546-023-00602-5
Quantum effects in an expanded Black–Scholes model
Anantya Bhatnagar and Dimitri D. Vvedensky The European Physical Journal B 95 (8) (2022) https://doi.org/10.1140/epjb/s10051-022-00402-0
Wild Randomness, and the application of Hyperbolic Diffusion in Financial Modelling
William Hicks SSRN Electronic Journal (2021) https://doi.org/10.2139/ssrn.3764903
Path integral Monte Carlo method for option pricing
Pietro Capuozzo, Emanuele Panella, Tancredi Schettini Gherardini and Dimitri D. Vvedensky Physica A: Statistical Mechanics and its Applications 581 126231 (2021) https://doi.org/10.1016/j.physa.2021.126231
The Probability Flow in the Stock Market and Spontaneous Symmetry Breaking in Quantum Finance
Ivan Arraut, João Alexandre Lobo Marques and Sergio Gomes Mathematics 9 (21) 2777 (2021) https://doi.org/10.3390/math9212777
Endogenous stochastic arbitrage bubbles and the Black–Scholes model
Mauricio Contreras G. Physica A: Statistical Mechanics and its Applications 583 126323 (2021) https://doi.org/10.1016/j.physa.2021.126323
Generalized heat diffusion equations with variable coefficients and their fractalization from the Black-Scholes equation
Rami Ahmad El-Nabulsi and Alireza Khalili Golmankhaneh Communications in Theoretical Physics 73 (5) 055002 (2021) https://doi.org/10.1088/1572-9494/abeb05
An analytical perturbative solution to the Merton–Garman model using symmetries
Xavier Calmet and Nathaniel Wiesendanger Shaw Journal of Futures Markets 40 (1) 3 (2020) https://doi.org/10.1002/fut.22061
Pricing of stochastic volatility stock index option based on Feynman path integral
Ling Feng and Wan-Ni Ji Acta Physica Sinica 68 (20) 203101 (2019) https://doi.org/10.7498/aps.68.20190714
An accurate European option pricing model under Fractional Stable Process based on Feynman Path Integral
Chao Ma, Qinghua Ma, Haixiang Yao and Tiancheng Hou Physica A: Statistical Mechanics and its Applications 494 87 (2018) https://doi.org/10.1016/j.physa.2017.11.120
The Money Formula
The Money Formula 227 (2017) https://doi.org/10.1002/9781119358725.biblo
The Money Formula
The Money Formula 227 (2017) https://doi.org/10.1002/9781119358725.biblio
Dynamic optimization and its relation to classical and quantum constrained systems
Mauricio Contreras, Rely Pellicer and Marcelo Villena Physica A: Statistical Mechanics and its Applications 479 12 (2017) https://doi.org/10.1016/j.physa.2017.02.075
Volatility Smile as Relativistic Effect
Zura Kakushadze SSRN Electronic Journal (2017) https://doi.org/10.2139/ssrn.2827916
Nonlinear Schrödinger approach to European option pricing
Marcin Wróblewski Open Physics 15 (1) 280 (2017) https://doi.org/10.1515/phys-2017-0031
Influence of periodic volatility on the stability of financial market
Zhou Ruo-Wei, Li Jiang-Cheng, Dong Zhi-Wei, Li Yun-Xian and Qian Zhen-Wei Acta Physica Sinica 66 (4) 040501 (2017) https://doi.org/10.7498/aps.66.040501
Feynman path integrals and asymptotic expansions for transition probability densities of some Lévy driven financial markets
Aziz Issaka and Indranil SenGupta Journal of Applied Mathematics and Computing 54 (1-2) 159 (2017) https://doi.org/10.1007/s12190-016-1002-2
Volatility smile as relativistic effect
Zura Kakushadze Physica A: Statistical Mechanics and its Applications 475 59 (2017) https://doi.org/10.1016/j.physa.2017.02.012
Multi-asset Black–Scholes model as a variable second class constrained dynamical system
M. Bustamante and M. Contreras Physica A: Statistical Mechanics and its Applications 457 540 (2016) https://doi.org/10.1016/j.physa.2016.03.063
Feynman Path Integrals and Asymptotic Expansions for Transition Probability Densities of Some Levy Driven Financial Markets
Aziz Issaka and Indranil SenGupta SSRN Electronic Journal (2016) https://doi.org/10.2139/ssrn.2724913
Feynman path integral application on deriving black-scholes diffusion equation for european option pricing
Briandhika Utama and Acep Purqon Journal of Physics: Conference Series 739 012021 (2016) https://doi.org/10.1088/1742-6596/739/1/012021
The roles of mean residence time on herd behavior in a financial market
Jiang-Cheng Li, Yun-Xian Li, Nian-Sheng Tang and Dong-Cheng Mei Physica A: Statistical Mechanics and its Applications 462 350 (2016) https://doi.org/10.1016/j.physa.2016.06.061
Roles of capital flow on the stability of a market system
Jiang-Cheng Li, Nian-Sheng Tang, Dong-Cheng Mei and Deng-Ke Xu Physica A: Statistical Mechanics and its Applications 436 14 (2015) https://doi.org/10.1016/j.physa.2015.04.030
Path Integral and Asset Pricing
Zura Kakushadze SSRN Electronic Journal (2014) https://doi.org/10.2139/ssrn.2506430
Effects of time delay on stochastic resonance of the stock prices in financial system
Jiang-Cheng Li, Chun Li and Dong-Cheng Mei Physics Letters A (2014) https://doi.org/10.1016/j.physleta.2014.05.036
Option pricing, stochastic volatility, singular dynamics and constrained path integrals
Mauricio Contreras and Sergio A. Hojman Physica A: Statistical Mechanics and its Applications 393 391 (2014) https://doi.org/10.1016/j.physa.2013.08.057
Physical approach to price momentum and its application to momentum strategy
Jaehyung Choi Physica A: Statistical Mechanics and its Applications 415 61 (2014) https://doi.org/10.1016/j.physa.2014.07.075
Stochastic volatility models at as second class constrained Hamiltonian systems
Mauricio Contreras G. Physica A: Statistical Mechanics and its Applications 405 289 (2014) https://doi.org/10.1016/j.physa.2014.03.030
Option volatility and the acceleration Lagrangian
Belal E. Baaquie and Yang Cao Physica A: Statistical Mechanics and its Applications 393 337 (2014) https://doi.org/10.1016/j.physa.2013.07.074
The roles of extrinsic periodic information on the stability of stock price
Jiang-Cheng Li and Dong-Cheng Mei The European Physical Journal B 87 (2) (2014) https://doi.org/10.1140/epjb/e2014-41033-6
Reverse resonance in stock prices of financial system with periodic information
Jiang-Cheng Li and Dong-Cheng Mei Physical Review E 88 (1) (2013) https://doi.org/10.1103/PhysRevE.88.012811
Quantum-like model of behavioral response computation using neural oscillators
J. Acacio de Barros Biosystems 110 (3) 171 (2012) https://doi.org/10.1016/j.biosystems.2012.10.002
Physical Approach to Price Momentum and Its Application to Momentum Strategy
Jaehyung Choi SSRN Electronic Journal (2012) https://doi.org/10.2139/ssrn.2128946
Pseudo Hermitian formulation of the quantum Black–Scholes Hamiltonian
T.K. Jana and P. Roy Physica A: Statistical Mechanics and its Applications 391 (8) 2636 (2012) https://doi.org/10.1016/j.physa.2011.12.012
Supersymmetry in option pricing
T.K. Jana and P. Roy Physica A: Statistical Mechanics and its Applications 390 (12) 2350 (2011) https://doi.org/10.1016/j.physa.2011.02.027
Path integral approach to Asian options in the Black–Scholes model
J.P.A. Devreese, D. Lemmens and J. Tempere Physica A: Statistical Mechanics and its Applications 389 (4) 780 (2010) https://doi.org/10.1016/j.physa.2009.10.020
Path integral approach to closed-form option pricing formulas with applications to stochastic volatility and interest rate models
D. Lemmens, M. Wouters, J. Tempere and S. Foulon Physical Review E 78 (1) (2008) https://doi.org/10.1103/PhysRevE.78.016101
A path integral approach to asset-liability management
Marc Decamps, Ann De Schepper and Marc Goovaerts Physica A: Statistical Mechanics and its Applications 363 (2) 404 (2006) https://doi.org/10.1016/j.physa.2005.08.059
Pricing exotic options in a path integral approach
G. Bormetti, G. Montagna, N. Moreni and O. Nicrosini Quantitative Finance 6 (1) 55 (2006) https://doi.org/10.1080/14697680500510878
Applications of δ-function perturbation to the pricing of derivative securities
Marc Decamps, Ann De Schepper and Marc Goovaerts Physica A: Statistical Mechanics and its Applications 342 (3-4) 677 (2004) https://doi.org/10.1016/j.physa.2004.05.035
Hamiltonian and potentials in derivative pricing models: exact results and lattice simulations
Belal E. Baaquie, Claudio Corianò and Marakani Srikant Physica A: Statistical Mechanics and its Applications 334 (3-4) 531 (2004) https://doi.org/10.1016/j.physa.2003.10.080
Black–Scholes model under subordination
A.A. Stanislavsky Physica A: Statistical Mechanics and its Applications 318 (3-4) 469 (2003) https://doi.org/10.1016/S0378-4371(02)01372-9
Interdisciplinary Computing in Java Programming
Sun-Chong Wang Interdisciplinary Computing in Java Programming 167 (2003) https://doi.org/10.1007/978-1-4615-0377-4_10
A discussion on embedding the Black–Scholes option pricing model in a quantum physics setting
Emmanuel E Haven Physica A: Statistical Mechanics and its Applications 304 (3-4) 507 (2002) https://doi.org/10.1016/S0378-4371(01)00568-4
Stochastic calculus for assets with non-Gaussian price fluctuations
Hagen Kleinert Physica A: Statistical Mechanics and its Applications 311 (3-4) 536 (2002) https://doi.org/10.1016/S0378-4371(02)00803-8
A path integral way to option pricing
Guido Montagna, Oreste Nicrosini and Nicola Moreni Physica A: Statistical Mechanics and its Applications 310 (3-4) 450 (2002) https://doi.org/10.1016/S0378-4371(02)00796-3
Quantum field theory of forward rates with stochastic volatility
Belal Baaquie Physical Review E 65 (5) 056122 (2002) https://doi.org/10.1103/PhysRevE.65.056122
Probability distribution of returns in the Heston model with stochastic volatility*
Adrian A Dragulescu and Victor M Yakovenko Quantitative Finance 2 (6) 443 (2002) https://doi.org/10.1088/1469-7688/2/6/303
Path Dependent Option Pricing: The Path Integral Partial Averaging Method
Andrew Matacz SSRN Electronic Journal (2000) https://doi.org/10.2139/ssrn.249570