|
||||||||||||
if(isset($title)){?> }?> if(isset($author)){?> }?> |
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.
Full Text PDF: