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Quantum Option Pricing and Quantum Finance
The Journal of Derivatives ( IF 0.4 ) Pub Date : 2020-05-28 , DOI: 10.3905/jod.2020.1.111
Sergio Focardi , Frank J. Fabozzi , Davide Mazza

In this article, the authors discuss the use of quantum probability, that is, the probability theory of quantum mechanics, for option pricing and for finance in general. The authors discuss the motivations for applying quantum probability to finance. The critical issues are replacing random variables with operators, self-reflexivity of markets, and the existence of incompatible observations. The authors outline quantum probability theory, quantum stochastic processes, and the pricing of options in a quantum context. TOPICS: Options, portfolio theory, portfolio construction Key Findings • Quantum probability theory is a probabilistic theory of observations. Observations can change the system and be incompatible. • Quantum probability offers a more empirically faithful handling of large events and of uncertainty. • A better theory of valuation is offered by quantum probability theory than classical probability theory.

中文翻译:

量子期权定价和量子金融

在本文中,作者讨论了量子概率(即量子力学的概率论)在期权定价和金融领域中的使用。作者讨论了将量子概率应用于金融的动机。关键问题是用运营商代替随机变量,市场的自我反思以及不相容的观察结果的存在。作者概述了量子概率论,量子随机过程以及量子上下文中期权的定价。主题:期权,投资组合理论,投资组合构建主要发现•量子概率理论是一种观察概率论。观测值可能会改变系统并且不兼容。•量子概率为大型事件和不确定性提供了更为实证的处理。
更新日期:2020-05-28
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