Schr\"odinger group and quantum finance
General Physics
2013-04-20 v1 General Finance
Abstract
Using the one dimensional free particle symmetries, the quantum finance symmetries are obtained. Namely, it is shown that Black-Scholes equation is invariant under Schr\"odinger group. In order to do this, the one dimensional free non-relativistic particle and its symmetries are revisited. To get the Black-Scholes equation symmetries, the particle mass is identified as the inverse of square of the volatility. Furthermore, using financial variables, a Schr\"odinger algebra representation is constructed.
Cite
@article{arxiv.1304.4995,
title = {Schr\"odinger group and quantum finance},
author = {Juan M. Romero and Ulises Lavana and Elio Martínez},
journal= {arXiv preprint arXiv:1304.4995},
year = {2013}
}
Comments
10 page, non figures