The Australian Journal of Mathematical Analysis and Applications

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ISSN 1449-5910  


Paper Information

Paper Title:

On Segal's Quantum Option Pricing


Andreas Boukas

Department of Mathematics and Natural Sciences,
American College of Greece
Aghia Paraskevi 15342, Athens,


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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