Modelling illiquid stocks using quantum stochastic calculus

DOI10.31390/JOSA.4.1.05MaRDI QIDQ6922956zbMATH OpenFDO

Authors Will Hicks

Publication date 30 September 2025

Published in Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.31390/JOSA.4.1.05

zbMATH Keywords

illiquid stocksquantum Black-Scholes framework

Mathematics Subject Classification ID

Quantum stochastic calculus (81S25) Applications of statistical and quantum mechanics to economics (econophysics) (91B80)

Cites work

• A nonlocal approach to the quantum Kolmogorov backward equation and links to noncommutative geometry
• Arbitrage Theory in Continuous Time
• Closed quantum Black-Scholes: quantum drift and the Heisenberg equation of motion
• scientific article; zbMATH DE number 3285476 (Why is no real title available?)
• Nonlocal diffusions and the quantum Black-Scholes equation: modelling the market fear factor
• Quantum Ito's formula and stochastic evolutions
• Quantum Theory for Mathematicians
• Stochastic differential equations. An introduction with applications.
• The Quantum Black-Scholes Equation

Cited in

(1)

• Modelling uncertain volatility using quantum stochastic calculus: unitary vs non-unitary time evolution

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