39 citations · 55 across the 8 of their papers we have counts for
8 papers
Exact solution of a generalized version of the Black-Scholes equation
Liviu-Adrian Cotfas, Camelia Delcea, Nicolae Cotfas
We analyze a generalized version of the Black-Scholes equation depending on a parameter . It satisfies the martingale condition and coincides with the Black-S…
Quantum harmonic oscillator in option pricing
Liviu-Adrian Cotfas, Nicolae Cotfas
The Black-Scholes model anticipates rather well the observed prices for options in the case of a strike price that is not too far from the current price of the underlying asset. So…
A quantum mechanical model for the rate of return
Liviu-Adrian Cotfas
In their activity, the traders approximate the rate of return by integer multiples of a minimal one. Therefore, it can be regarded as a quantized variable. On the other hand, there…
Finite quantum mechanical model for the stock market
Liviu-Adrian Cotfas
The price of a given stock is exactly known only at the time of sale when the stock is between the traders. If we know the price (owner) then we have no information on the owner (p…
A quantum mechanical model for the relationship between stock price and stock ownership
Liviu-Adrian Cotfas
The trade of a fixed stock can be regarded as the basic process that measures its momentary price. The stock price is exactly known only at the time of sale when the stock is betwe…
A finite-dimensional quantum model for the stock market
Liviu-Adrian Cotfas
We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769…