On Segal's quantum option pricing

MaRDI QIDQ3633064zbMATH OpenFDO

Authors A. Boukas

Publication date 16 June 2009

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

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)

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

Cited in

(9)

• 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 quantum mechanics for interest rate derivatives markets
• Quantum theory for the binomial model in finance theory
• Valuation of a financial claim contingent on the outcome of a quantum measurement
• The Black–Scholes pricing formula in the quantum context
• Quantum Calculus (q-Calculus) and Option Pricing: A Brief Introduction
• A Black-Scholes Schrödinger option price: `bit' versus `qubit'
• The Quantum Black-Scholes Equation
• Emergence of fuzzy preferences for risk in a Birkhoff-von Neumann logics environment

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)