The Quantum Black-Scholes Equation
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Publication:5293133
zbMATH Open1157.91348arXiv0706.1300MaRDI QIDQ5293133FDOQ5293133
Publication date: 26 June 2007
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.
Full work available at URL: https://arxiv.org/abs/0706.1300
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- Quantum mechanics and violations of the sure-thing principle: The use of probability interference and other concepts
- On Segal's quantum option pricing
- The Black-Scholes Equation and Certain Quantum Hamiltonians
- Possibility to agree on disagree from quantum information and decision making
- Itô's Lemma with quantum calculus (\(q\)-calculus): some implications
- A discussion on embedding the Black-Scholes option pricing model in a quantum physics setting
- Why Bohmian approach to quantum econometrics: an algebraic explanation
- A Black-Scholes Schrödinger option price: `bit' versus `qubit'
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