Related papers: Quantum harmonic oscillator in option pricing
In the present work, we propose a new multifactor stochastic volatility model in which slow factor of volatility is approximated by a parabolic arc. We retain ourselves to the perturbation technique to obtain approximate expression for…
We study the Heston model for pricing European options on stocks with stochastic volatility. This is a Black\--Scholes\--type equation whose spatial domain for the logarithmic stock price $x\in \RR$ and the variance $v\in (0,\infty)$ is the…
In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his…
The standard quantum mechanical harmonic oscillator has an exact, dual relationship with a completely classical system: a classical particle running along a circle. Duality here means that there is a one-to-one relation between all…
The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining the implied volatility, which is a function of the underlying asset, from a…
This survey paper is focused on qualitative and numerical analyses of fully nonlinear partial differential equations of parabolic type arising in financial mathematics. The main purpose is to review various non-linear extensions of the…
We investigate the behavior of stocks in daily price-limited stock markets by purposing a quantum spatial-periodic harmonic model. The stock price is presumed to oscillate and damp in a quantum spatial-periodic harmonic oscillator potential…
Semiclassical quantization is exact only for the so called \emph{solvable} potentials, such as the harmonic oscillator. In the \emph{nonsolvable} case the semiclassical phase, given by a series in $\hbar$, yields more or less approximate…
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral valuation model for options dependent…
This paper considers options pricing when the assumption of normality is replaced with that of the symmetry of the underlying distribution. Such a market affords many equivalent martingale measures (EMM). However we argue (as in the…
This paper describes how the structure of the state space of the quantum harmonic oscillator can be described by an adjunction of categories, that encodes the raising and lowering operators into a commutative comonoid. The formulation is an…
G-expectation, as a sublinear expectation, provides a powerful framework for modeling uncertainty in financial markets. Motivated by the need for robust valuation under model uncertainty, this work develops a unified risk-neutral valuation…
We present a general, asymptotical solution for the discretised harmonic oscillator. The corresponding Schr\"odinger equation is canonically conjugate to the Mathieu differential equation, the Schr\"odinger equation of the quantum pendulum.…
We construct a generalised expression for the normal ordering of (a+a^{\dagger})^{m} for integral values of m and use the result to study the quantum anharmonic oscillator problem in the Heisenberg approach. In particular, we derive…
The problem of quantum harmonic oscillator with "regular+random" square frequency, subjected to "regular+random external force, is considered in framework of representation of the wave function by complex-valued random process. Average…
We consider the Black--Scholes model of financial market modified to capture the stochastic nature of volatility observed at real financial markets. For volatility driven by the Ornstein--Uhlenbeck process, we establish the existence of…
An investor faced with a contingent claim may eliminate risk by perfect hedging, but as it is often quite expensive, he seeks partial hedging (quantile hedging or efficient hedging) that requires less capital and reduces the risk. Efficient…
We analyze the empirical performance of several non-parametric estimators of the pricing functional for European options, using historical put and call prices on the S&P500 during the year 2012. Two main families of estimators are…
By using the minisuperspace model for the interior metric ofstatic black holes, we solve the Wheeler-DeWitt equation to study quantum mechanics of the horizon geometry. Our basic idea is to introduce the gravitational mass and the…
This paper presents the Runge-Kutta-Legendre finite difference scheme, allowing for an additional shift in its polynomial representation. A short presentation of the stability region, comparatively to the Runge-Kutta-Chebyshev scheme…