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Quantum Analog of the Black- Scholes Formula(market of financial derivatives as a continuous weak measurement)

S. I. Melnyk, and I. G. Tuluzov

posted on 31 October 2011

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We analyze the properties of optimum portfolios, the price of which is considered a new quantum variable and derive a quantum analog of the Black-Scholes formula for the price of financial variables in assumption that the market dynamics can by considered as its continuous weak measurement at no-arbitrage condition.