A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Denis M. Filatov & Maksim A. Vanyarkho, 2014. "An Unconventional Attempt to Tame Mandelbrot's Grey Swans," Papers 1406.5718, arXiv.org.
- Mauricio Contreras & Rely Pellicer & Marcelo Villena, 2016. "Dynamic optimization and its relation to classical and quantum constrained systems," Papers 1607.01317, arXiv.org.
- Mauricio Contreras & Rely Pellicer & Daniel Santiagos & Marcelo Villena, 2015. "Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods," Papers 1512.05377, arXiv.org.
- Contreras, Mauricio & Pellicer, Rely & Villena, Marcelo, 2017. "Dynamic optimization and its relation to classical and quantum constrained systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 12-25.
- Rotundo, Giulia, 2014. "Black–Scholes–Schrödinger–Zipf–Mandelbrot model framework for improving a study of the coauthor core score," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 296-301.
More about this item
KeywordsBlack–Scholes model; Arbitrage; Option pricing; Quantum mechanics; Semi-classical methods;
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