The Quantum Black-Scholes Equation

Details The Quantum Black-Scholes Equation The Quantum Black-Scholes Equation

2007-06-09

arxiv.org/abs/0706.1300v1

Economy

Quantitative Finance

Pricing of Securities

Has appeared in GJPAM, vol. 2, no. 2, pp. 155-170 (2006)

Scientific paper

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.

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