The Quantum Black-Scholes Equation

Luigi Accardi and Andreas Boukas

Papers from arXiv.org

Abstract: Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus. Our model includes stock markets described by quantum Brownian motion and Poisson process.

Date: 2007-06
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Citations: View citations in EconPapers (12)

Published in GJPAM, vol. 2, no. 2, pp. 155-170 (2006)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0706.1300

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