English

Pseudo-Hermiticity, Martingale Processes and Non-Arbitrage Pricing

Mathematical Finance 2021-04-07 v2

Abstract

Financial models based on the Wick product, and White Noise formalism have previously been suggested in order to incorporate integrals with respect to fractional Brownian motion. It has also been pointed out that this leads naturally to a quantum mechanical interpretation of the financial market. In this article we pursue this idea further, and in particular show how the framework of quantum probability can be used to construct Martingales, without relying on Brownian integrals. We go on to suggest benefits of doing so, and avenues for future work.

Keywords

Cite

@article{arxiv.2009.00360,
  title  = {Pseudo-Hermiticity, Martingale Processes and Non-Arbitrage Pricing},
  author = {Will Hicks},
  journal= {arXiv preprint arXiv:2009.00360},
  year   = {2021}
}

Comments

18 pages, 1 figure

R2 v1 2026-06-23T18:14:07.851Z