Modelling illiquid stocks using quantum stochastic calculus: asymptotic methods

DOI10.31390/JOSA.4.2.02MaRDI QIDQ6915011zbMATH OpenFDO

Authors Will Hicks

Publication date 15 October 2025

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

Full work available at URL https://doi.org/10.31390/JOSA.4.2.02

zbMATH Keywords

asymptotic expansionsFokker-Planck equationquantum Black-Scholes model

Mathematics Subject Classification ID

Quantum stochastic calculus (81S25) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Cites work

• A nonlocal approach to the quantum Kolmogorov backward equation and links to noncommutative geometry
• scientific article; zbMATH DE number 1409619 (Why is no real title available?)
• scientific article; zbMATH DE number 3285476 (Why is no real title available?)
• Quantum Ito's formula and stochastic evolutions
• The Quantum Black-Scholes Equation

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