The Quantum Black-Scholes Equation
arXiv:0706.1300
Abstract
Motivated by the work of Segal and Segal on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus. Our model includes stock markets described by quantum Brownian motion and Poisson process.
Has appeared in GJPAM, vol. 2, no. 2, pp. 155-170 (2006)