On Segal's quantum option pricing

zbMATH Open1162.81397MaRDI QIDQ3633064FDOQ3633064

A. Boukas

Publication date: 16 June 2009

Full work available at URL: http://ajmaa.org/cgi-bin/paper.pl?string=v4n2/V4I2P2.tex

Recommendations

• The Quantum Black-Scholes Equation
• Noncommutative valuation of options
• A Black-Scholes Schrödinger option price: `bit' versus `qubit'
• A quantum mechanics for interest rate derivatives markets
• Quantum theory for the binomial model in finance theory

zbMATH Keywords

Black-Scholes modelquantum stochastic calculusquantum option pricing

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80) Quantum stochastic calculus (81S25)

Cited In (5)

• Quantum Calculus (q-Calculus) and Option Pricing: A Brief Introduction
• Quantum theory for the binomial model in finance theory
• Emergence of fuzzy preferences for risk in a Birkhoff-von Neumann logics environment
• The connection between multiple prices of an option at a given time with single prices defined at different times: the concept of weak-value in quantum finance
• A Black-Scholes Schrödinger option price: `bit' versus `qubit'

This page was built for publication: On Segal's quantum option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3633064)