Relativistic Quantum Finance
Mathematical Finance
2016-04-07 v1
Abstract
Employing the Klein-Gordon equation, we propose a generalized Black-Scholes equation. In addition, we found a limit where this generalized equation is invariant under conformal transformations, in particular invariant under scale transformations. In this limit, we show that the stock prices distribution is given by a Cauchy distribution, instead of a normal distribution.
Cite
@article{arxiv.1604.01447,
title = {Relativistic Quantum Finance},
author = {Juan M. Romero and Ilse B. Zubieta-Martínez},
journal= {arXiv preprint arXiv:1604.01447},
year = {2016}
}
Comments
9 pages, no figures