Relativistic Quantum Finance

Juan M. Romero and Ilse B. Zubieta-Mart\'inez

Papers from arXiv.org

Abstract: Employing the Klein-Gordon equation, we propose a generalized Black-Scholes equation. In addition, we found a limit where this generalized equation is invariant under conformal transformations, in particular invariant under scale transformations. In this limit, we show that the stock prices distribution is given by a Cauchy distribution, instead of a normal distribution.

Date: 2016-04
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Citations: View citations in EconPapers (4)

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