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The Australian Journal of Mathematical Analysis and Applications
ISSN 1449-5910 |
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Paper Title:
On Segal's Quantum Option Pricing
Author(s):
Andreas Boukas
Department of Mathematics and Natural Sciences,
American College of Greece
Aghia Paraskevi 15342, Athens,
Greece.
andreasboukas@acgmail.gr
Abstract:
We apply the non-commutative extension of classical Itô stochastic calculus, known as quantum stochastic calculus, to the quantum Black-Scholes model in the sense of Segal and Segal [4]. Explicit expressions for the best quantum option price and the associated optimal quantum portfolio are derived.
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