12 citations · 12 across the 2 of their papers we have counts for
2 papers
q-fin.MF2016★ 12 cited
Dynamic optimization and its relation to classical and quantum constrained systems
Mauricio Contreras, Rely Pellicer, Marcelo Villena
We study the structure of a simple dynamic optimization problem consisting of one state and one control variable, from a physicist's point of view. By using an analogy to a physica…
q-fin.MF2015
Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods
Mauricio Contreras, Rely Pellicer, Daniel Santiagos +1
An interacting Black-Scholes model for option pricing, where the usual constant interest rate r is replaced by a stochastic time dependent rate r(t) of the form r(t)=r+f(t) dW/dt,…