The Quantum Black-Scholes Equation

MaRDI QIDQ5293133zbMATH OpenFDO

Authors L. Accardi, A. Boukas

Publication date 26 June 2007

Full work available at URL https://arxiv.org/abs/0706.1300

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Quantum stochastic calculus (81S25)

Abstract: Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus. Our model includes stock markets described by quantum Brownian motion and Poisson process.

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Cited in

(18)

• Quantum ideas for classical systems
• The Blackwell and Dubins theorem and Rényi's amount of information measure: Some applications
• The role of information in a two-traders market
• Quantum mechanics and violations of the sure-thing principle: The use of probability interference and other concepts
• On Segal's quantum option pricing
• Appearances of pseudo-bosons from Black-Scholes equation
• The Black-Scholes Equation and Certain Quantum Hamiltonians
• Preferences (partial pre-orders) on complex numbers -- in view of possible use in quantum econometrics
• Possibility to agree on disagree from quantum information and decision making
• The Black–Scholes pricing formula in the quantum context
• Itô's Lemma with quantum calculus (\(q\)-calculus): some implications
• Modelling illiquid stocks using quantum stochastic calculus: asymptotic methods
• A discussion on embedding the Black-Scholes option pricing model in a quantum physics setting
• Modelling illiquid stocks using quantum stochastic calculus
• Wild randomness and the application of hyperbolic diffusion in financial modelling
• Closed quantum Black-Scholes: quantum drift and the Heisenberg equation of motion
• A Black-Scholes Schrödinger option price: `bit' versus `qubit'
• Why Bohmian approach to quantum econometrics: an algebraic explanation

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