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- W2899872785 abstract "Options are financial derivatives on an underlying security. The Schrodinger andHeisenberg approach to the quantum mechanics together with the Dirac matrixapproaches are applied to derive the Black-Scholes formula and the quantum Cox-Rubinstein formula.The quantum mechanics approach to option pricing is based on the interpretationof the option price as the Schrodinger wave function of a certain quantum mechanicsmodel determined by Hamiltonian H. We apply this approach to continuoustime market models generated by Levy processes.In the discrete time formulization, we construct both self-adjoint and non selfadjointquantum market. Moreover, we apply the discrete time formulizationand analyse the quantum version of the Cox-Ross-Rubinstein Binomial Model.We find the limit of the N-period bond market, which convergences to planarBrownian motion and then we made an application to option pricing in planarBrownian motion compared with Levy models by Fourier techniques and MonteCarlo method.Furthermore, we analyse the quantum conditional option price and compare forthe conditional option pricing in the quantum formulization. Additionally, weestablish the limit of the spectral measures proving the convergence to the geometricBrownian motion model. Finally, we found Binomial Model formula andPath integral formulization gave are close to the Black-Scholes formula." @default.
- W2899872785 created "2018-11-16" @default.
- W2899872785 creator A5067072572 @default.
- W2899872785 date "2018-10-02" @default.
- W2899872785 modified "2023-09-27" @default.
- W2899872785 title "Quantum mechanics approach to option pricing" @default.
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- W2899872785 hasPublicationYear "2018" @default.
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