Related papers: Quantum harmonic oscillator in option pricing
In the preceding paper (arXiv : 0710.2724 [quant-ph]) we have constructed the general solution for the master equation of quantum damped harmonic oscillator, which is given by the complicated infinite series in the operator algebra level.…
The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic…
Closed form option pricing formulae explaining skew and smile are obtained within a parsimonious non-Gaussian framework. We extend the non-Gaussian option pricing model of L. Borland (Quantitative Finance, {\bf 2}, 415-431, 2002) to include…
In this article, we study the rate of convergence of prices when a model is approximated by some simplified model. We also provide a method how explicit error formula for more general options can be obtained if such formula is available for…
We propose an extended version of supersymmetric quantum mechanics which can be useful if the Hamiltonian of the physical system under investigation is not Hermitian. The method is based on the use of two, in general different,…
This research addresses accurate option pricing by employing models beyond the traditional Black-Scholes framework. While Black-Scholes provides a closed-form solution, it is limited by assumptions of constant volatility, no dividends, and…
Quantum Stochastic Calculus can be used as a means by which randomness can be introduced to observables acting on a Hilbert space. In this article we show how the mechanisms of Quantum Stochastic Calculus can be used to extend the classical…
The solution of one--dimensional asymmetric quantum harmonic oscillator is presented. The asymmetry can be realized, for example, by using two springs, one spring is glued with the mass, and the second spring is freely connected with the…
The Fourier series method is used to solve the homogeneous equation governing the motion of the harmonic oscillator. It is shown that the general solution to the problem can be found in a surprisingly simple way for the case of the simple…
We investigate symmetric oscillators, and in particular their quantization, by employing semiclassical and quantum phase functions introduced in the context of Liouville-Green transformations of the Schr\"{o}dinger equation. For anharmonic…
Accurate and efficient pricing of multi-asset basket options poses a significant challenge, especially when dealing with complex real-world data. In this work, we investigate the role of quantum-enhanced uncertainty modeling in financial…
Starting from the eigenvalue equation for the mass of a black hole derived by M\"akel\"a and Repo, we show that, by reparametrizing the radial coordinate and the wave function, it can be rewritten as the eigenvalue equation of a quantum…
We investigate a quantum mechanical harmonic oscillator based on the extended Snyder model. This realization of the Snyder model is constructed as a quantum phase space generated by $D$ spatial coordinates and $D(D-1)/2$ tensorial degrees…
In this article we obtained the harmonic oscillator solution for quaternionic quantum mechanics ($\mathbbm{H}$QM) in the real Hilbert space, both in the analytic method and in the algebraic method. The quaternionic solutions have many…
Black-Scholes equation as one of the most celebrated mathematical models has an explicit analytical solution known as the Black-Scholes formula. Later variations of the equation, such as fractional or nonlinear Black-Scholes equations, do…
A new mathematical model for the Black-Scholes equation is proposed to forecast option prices. This model includes new interval for the price of the underlying stock as well as new initial and boundary conditions. Conventional notions of…
Black-Scholes (BS) is the standard mathematical model for option pricing in financial markets. Option prices are calculated using an analytical formula whose main inputs are strike (at which price to exercise) and volatility. The BS…
A modification of the spiked harmonic oscillator is studied in the case for which the perturbation potential contains both an inverse power and a linear term. It is then possible to evaluate trial functions by solving an integral equation…
We present a new numerical method to price vanilla options quickly in time-changed Brownian motion models. The method is based on rational function approximations of the Black-Scholes formula. Detailed numerical results are given for a…
We show how the prices of options can be determined with the help of double-fractional differential equation in such a way that their inclusion in a portfolio of stocks provides a more reliable hedge against dramatic price drops that the…