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

DOI10.31390/JOSA.5.3.02MaRDI QIDQ6914905zbMATH 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.5.3.02

zbMATH Keywords

non-unitary time evolutionquantum Black-Scholes modeluncertain parameters

Mathematics Subject Classification ID

Quantum stochastic calculus (81S25) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites work

• scientific article; zbMATH DE number 1866308 (Why is no real title available?)
• Modelling illiquid stocks using quantum stochastic calculus
• Pricing and hedging derivative securities in markets with uncertain volatilities
• Quantum computation and quantum information. 10th anniversary edition
• Quantum Ito's formula and stochastic evolutions
• Quantum Theory for Mathematicians
• Stochastic differential equations. An introduction with applications.
• The Quantum Black-Scholes Equation
• Uncertain volatility and the risk-free synthesis of derivatives

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