On Noncommutative Quantum Mechanics and the Black-Scholes Model

Abraham Espinoza-Garc\'ia, Pablo Vega-Lara, Luis Rey D\'iaz-Barr\'on and F. Teodoro Hern\'andez Grovas

Papers from arXiv.org

Abstract: Two novel and direct quantum mechanical representations of the Black-Scholes model are constructed based on the (Wick-rotated) quantization of two specific mechanical systems. The quantum setup is achieved by means of the associated Laplace-Beltrami operator (one for each model), and not by merely applying the usual naive rule. Additionally, the clear identification of the geometric content of the underlying classical framework is exploited in order to arrive at a noncommutative quantum mechanics generalization of the Black-Scholes model. We also consider a system consisting of two degrees of freedom whose (Wick-rotated) quantization leads to a model which can be seen as related to the Merton-Garman family. This model is also generalized via noncommutative quantum mechanics.

Date: 2025-02
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2502.00938 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2502.00938

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().