Work

The Quantum Black-Scholes Equation

Year: 2007

Type: preprint

Abstract: Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus. Our model includes stock markets described by quantum Brownian motion and Poisson process.

Source: RePEc: Research Papers in Economics

DOI: 10.48550/arxiv.0706.1300

Authors: Accardi, Luigi, Boukas, Andreas

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2952465818

Cites: 7

Cited by: 43

Related to: 20