A discussion on embedding the Black-Scholes option pricing model in a quantum physics setting
From MaRDI portal
Publication:5956524
DOI10.1016/S0378-4371(01)00568-4zbMath0992.91043WikidataQ56687225 ScholiaQ56687225MaRDI QIDQ5956524
Publication date: 20 February 2002
Published in: Physica A (Search for Journal in Brave)
Black-Scholes model; belief parameter; Planck constant; potential function; probability of occurence of strategy paths; Schrödinger differential equation
91G20: Derivative securities (option pricing, hedging, etc.)
81P99: Foundations, quantum information and its processing, quantum axioms, and philosophy
Related Items
D-brane solutions under market panic, Quantum model for the price dynamics: The problem of smoothness of trajectories, Existence and uniqueness results for a semilinear Black-Scholes type equation, Quantum probability and financial market, Emergence of fuzzy preferences for risk in a Birkhoff-von Neumann logics environment, A Black-Scholes Schrödinger option price: `bit' versus `qubit', Application of Bohmian mechanics to dynamics of prices of shares: Stochastic model of Bohm-Vigier from properties of price trajectories, Quantum modeling of nonlinear dynamics of stock prices: Bohmian approach, Algorithm for Quantum-like Representation: Transformation of Probabilistic Data into Vectors on Bloch's Sphere
Cites Work