Closed Quantum Black-Scholes: Quantum Drift and the Heisenberg Equation of Motion

Will Hicks

Papers from arXiv.org

Abstract: In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model introduces quantum interference effects that can act as either a drag or a boost on the resulting return. The ultimate objective is to investigate the nature of quantum drift in the Accardi-Boukas quantum Black-Scholes framework which involves modelling the financial market as a quantum observable, and introduces randomness through the Hudson-Parthasarathy quantum stochastic calculus. In particular we aim to differentiate randomness that is introduced through external noise (quantum stochastic calculus) and randomness that is fundamental to a quantum system (Heisenberg Equation of Motion).

Date: 2019-11, Revised 2020-01
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1911.11475

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