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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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1304.4995
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