Merton's equation and the quantum oscillator: pricing risky corporate coupon bonds

DOI10.1016/J.PHYSA.2019.123367MaRDI QIDQ2137616zbMATH OpenOpenAlexWikidataFDO

Authors Belal E. Baaquie

Publication date 16 May 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.123367

zbMATH Keywords

corporate coupon bondsMerton's equationoscillator potentialpath integralstochastic couponssukuk

Mathematics Subject Classification ID

Feynman integrals and graphs; applications of algebraic topology and algebraic geometry (81Q30) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• Bonds with index-linked stochastic coupons in quantum finance
• Default prediction with the Merton-type structural model based on the NIG Lévy process
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Interest Rates and Coupon Bonds in Quantum Finance
• Merton's equation and the quantum oscillator. II: Option pricing
• Path Integrals and Hamiltonians
• Quantum field theory for economics and finance
• Quantum Finance

Cited in

(2)

• Bonds with index-linked stochastic coupons in quantum finance
• Interest Rates and Coupon Bonds in Quantum Finance

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