282 research outputs found
A Nonlocal Approach to The Quantum Kolmogorov Backward Equation and Links to Noncommutative Geometry
The Accardi-Boukas quantum Black-Scholes equation can be used as an
alternative to the classical approach to finance, and has been found to have a
number of useful benefits. The quantum Kolmogorov backward equations, and
associated quantum Fokker-Planck equations, that arise from this general
framework, are derived using the Hudson-Parthasarathy quantum stochastic
calculus. In this paper we show how these equations can be derived using a
nonlocal approach to quantum mechanics. We show how nonlocal diffusions, and
quantum stochastic processes can be linked, and discuss how moment matching can
be used for deriving solutions.Comment: 19 page
Path integral approach to Asian options in the Black-Scholes model
We derive a closed-form solution for the price of an average price as well as
an average strike geometric Asian option, by making use of the path integral
formulation. Our results are compared to a numerical Monte Carlo simulation. We
also develop a pricing formula for an Asian option with a barrier on a control
process, combining the method of images with a partitioning of the set of paths
according to the average along the path. This formula is exact when the
correlation is zero, and is approximate when the correlation increases.Comment: 13 pages, 3 figures, updated version has added references to path
integral literatur
Levy processes - from probability theory to finance and quantum groups
Stochastic processes are families of random variables; Lévy processes are families indexed by the positive reals which are independent with stationary increments and are stochastically continuous. The author reviews the basic properties of Lévy processes and considers some of their applications
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