The connection between multiple prices of an Option at a given time with single prices defined at different times: The concept of weak-value in quantum finance

Ivan Arraut, Alan Au, Alan Ching-biu Tse and Carlos Segovia

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Abstract: We introduce a new tool for predicting the evolution of an option for the cases where at some specific time, there is a high-degree of uncertainty for identifying its price. We work over the special case where we can predict the evolution of the system by joining a single price for the Option, defined at some specific time with a pair of prices defined at another instant. This is achieved by describing the evolution of the system through a financial Hamiltonian. The extension to the case of multiple prices at a given instant is straightforward. We also explain how to apply these results in real situations.

Date: 2019-05
New Economics Papers: this item is included in nep-bec
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Published in Phys. A, Vol. 526 (2019), 1-19

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1905.05813

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