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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

Author

Listed:
  • Arraut, Ivan
  • Au, Alan
  • Tse, Alan Ching-biu
  • Segovia, Carlos

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 cases where we can predict the evolution of the system by joining prices (one or more) for the Option, defined at some specific time with prices (one or more) defined at another instant. This is achieved by describing the evolution of the system through a financial Hamiltonian.

Suggested Citation

  • Arraut, Ivan & Au, Alan & Tse, Alan Ching-biu & Segovia, Carlos, 2019. "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," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
    • Handle: RePEc:eee:phsmap:v:526:y:2019:i:c:s0378437119306387
    DOI: 10.1016/j.physa.2019.04.264
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    Citations

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    Cited by:

    1. Ivan Arraut & Alan Au & Alan Ching-biu Tse & Joao Alexandre Lobo Marques, 2019. "On the probability flow in the Stock market I: The Black-Scholes case," Papers 2001.00516, arXiv.org.
    2. Ivan Arraut & Alan Au & Alan Ching-biu Tse, 2020. "On the multiplicity of the martingale condition: Spontaneous symmetry breaking in Quantum Finance," Papers 2004.11270, arXiv.org.
    3. Ivan Arraut & João Alexandre Lobo Marques & Sergio Gomes, 2021. "The Probability Flow in the Stock Market and Spontaneous Symmetry Breaking in Quantum Finance," Mathematics, MDPI, vol. 9(21), pages 1-18, November.
    4. Ivan Arraut & Alan Au & Alan Ching-biu Tse, 2020. "Spontaneous symmetry breaking in Quantum Finance," Papers 2011.05278, arXiv.org.
    5. Ivan Arraut & Joao Alexandre Lobo Marques & Sergio Gomes, 2022. "The probability flow in the Stock market and Spontaneous symmetry breaking in Quantum Finance," Papers 2206.07130, arXiv.org.

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