8 citations · 8 across the 2 of their papers we have counts for
3 papers
The price of bond and European option on bond without credit risk. Classical look and its quantum extension
Edward W. Piotrowski, Malgorzata Schroeder, Anna Szczypinska
In this paper we compare two classical one-factor diffusion models which are used to model the term structure of interest rates. One of them is based on the Wiener-Bachelier proces…
Kelly Criterion revisited: optimal bets
Edward W. Piotrowski, Malgorzata Schroeder
Kelly criterion, that maximizes the expectation value of the logarithm of wealth for bookmaker bets, gives an advantage over different class of strategies. We use projective symmet…
Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process
Edward W. Piotrowski, Malgorzata Schroeder, Anna Zambrzycka
In this work we propose a option pricing model based on the Ornstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which is based on the quantum game theory. We…