Schr\"odinger group and quantum finance

Juan M. Romero, Ulises Lavana and Elio Mart\'inez

Papers from arXiv.org

Abstract: Using the one dimensional free particle symmetries, the quantum finance symmetries are obtained. Namely, it is shown that Black-Scholes equation is invariant under Schr\"odinger group. In order to do this, the one dimensional free non-relativistic particle and its symmetries are revisited. To get the Black-Scholes equation symmetries, the particle mass is identified as the inverse of square of the volatility. Furthermore, using financial variables, a Schr\"odinger algebra representation is constructed.

Date: 2013-04
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