Modelling Uncertain Volatility Using Quantum Stochastic Calculus: Unitary vs Non-Unitary Time Evolution
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References listed on IDEAS
- Will Hicks, 2023. "Modelling Illiquid Stocks Using Quantum Stochastic Calculus," Papers 2302.05243, arXiv.org.
- T. J. Lyons, 1995. "Uncertain volatility and the risk-free synthesis of derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(2), pages 117-133.
- Will Hicks, 2023. "Modelling Illiquid Stocks Using Quantum Stochastic Calculus: Asymptotic Methods," Papers 2302.05256, arXiv.org.
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This paper has been announced in the following NEP Reports:- NEP-CMP-2024-07-29 (Computational Economics)
- NEP-RMG-2024-07-29 (Risk Management)
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