Closed Quantum Black-Scholes: Quantum Drift and the Heisenberg Equation of Motion
@article{Hicks2020ClosedQB, title={Closed Quantum Black-Scholes: Quantum Drift and the Heisenberg Equation of Motion}, author={William Hicks}, journal={Risk Management eJournal}, year={2020} }
In this article we model a financial derivative price as an observable on the market state function. We apply geometric techniques to integrating the Heisenberg Equation of Motion. We illustrate how the non-commutative nature of the model introduces quantum interference effects that can act as either a drag or a boost on the resulting return. The ultimate objective is to investigate the nature of quantum drift in the Accardi-Boukas quantum Black-Scholes framework which involves modelling the…
One Citation
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