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

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 the special case where we can predict the evolution of the system by joining a single price for the Option, defined at some specific time with a pair of prices defined at another instant. This is achieved by describing the evolution of the system through a financial Hamiltonian. The extension to the case of multiple prices at a given instant is straightforward. We also explain how to apply these results in real situations.

Suggested Citation

  • Ivan Arraut & Alan Au & Alan Ching-biu Tse & Carlos Segovia, 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," Papers 1905.05813, arXiv.org.
    • Handle: RePEc:arx:papers:1905.05813
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    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. Haoran Zheng & Jing Bai, 2024. "Quantum Leap: A Price Leap Mechanism in Financial Markets," Mathematics, MDPI, vol. 12(2), pages 1-27, January.
    5. Ivan Arraut & Alan Au & Alan Ching-biu Tse, 2020. "Spontaneous symmetry breaking in Quantum Finance," Papers 2011.05278, arXiv.org.
    6. 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.

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