Quantum harmonic oscillator in option pricing
AbstractThe Black-Scholes model anticipates rather well the observed prices for options in the case of a strike price that is not too far from the current price of the underlying asset. Some useful extensions can be obtained by an adequate modification of the coefficients in the Black-Scholes equation. We investigate from a mathematical point of view an extension directly related to the quantum harmonic oscillator. In the considered case, the solution is the sum of a series involving the Hermite-Gauss functions. A finite-dimensional version is obtained by using a finite oscillator and the Harper functions. This simplified model keeps the essential characteristics of the continuous one and uses finite sums instead of series and integrals.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1310.4142.
Date of creation: Oct 2013
Date of revision: Oct 2013
Contact details of provider:
Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-10-25 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jana, T.K. & Roy, P., 2011. "Supersymmetry in option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(12), pages 2350-2355.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.