Motivated by the work of Segal and Segal in \cite{5} 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.
Accardi, L., Boukas, A. (2006). The Quantum Black-Scholes equation. GLOBAL JOURNAL OF PURE AND APPLIED MATHEMATICS, 2(2), 155-170.
The Quantum Black-Scholes equation
ACCARDI, LUIGI;
2006-01-01
Abstract
Motivated by the work of Segal and Segal in \cite{5} 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.File in questo prodotto:
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