Modelling Illiquid Stocks Using Quantum Stochastic Calculus
Mathematical Finance
2023-02-13 v1
Abstract
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 Black-Scholes framework by incorporating a breakdown in the liquidity of a traded asset. This is captured via the widening of the bid offer spread, and the impact on the nature of the resulting probability distribution is modelled in this work.
Cite
@article{arxiv.2302.05243,
title = {Modelling Illiquid Stocks Using Quantum Stochastic Calculus},
author = {Will Hicks},
journal= {arXiv preprint arXiv:2302.05243},
year = {2023}
}