Quantum Theory for the Binomial Model in Finance Theory
量子物理
2019-06-28 v6
摘要
In this paper, a quantum model for the binomial market in finance is proposed. We show that its risk-neutral world exhibits an intriguing structure as a disk in the unit ball of whose radius is a function of the risk-free interest rate with two thresholds which prevent arbitrage opportunities from this quantum market. Furthermore, from the quantum mechanical point of view we re-deduce the Cox-Ross-Rubinstein binomial option pricing formula by considering Maxwell-Boltzmann statistics of the system of distinguishable particles.
引用
@article{arxiv.quant-ph/0112156,
title = {Quantum Theory for the Binomial Model in Finance Theory},
author = {Zeqian Chen},
journal= {arXiv preprint arXiv:quant-ph/0112156},
year = {2019}
}
备注
Latex, 8 pages,1 figure, revised version,submitted