The Quantum Black-Scholes Equation
Pricing of Securities
2020-06-23 v1 Mathematical Physics
math.MP
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.
Cite
@article{arxiv.0706.1300,
title = {The Quantum Black-Scholes Equation},
author = {Luigi Accardi and Andreas Boukas},
journal= {arXiv preprint arXiv:0706.1300},
year = {2020}
}