IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-0208191.html
   My bibliography  Save this paper

Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance

Author

Listed:
  • Belal E. Baaquie
  • Claudio Coriano
  • Marakani Srikant

Abstract

Quantum Finance represents the synthesis of the techniques of quantum theory (quantum mechanics and quantum field theory) to theoretical and applied finance. After a brief overview of the connection between these fields, we illustrate some of the methods of lattice simulations of path integrals for the pricing of options. The ideas are sketched out for simple models, such as the Black-Scholes model, where analytical and numerical results are compared. Application of the method to nonlinear systems is also briefly overviewed. More general models, for exotic or path-dependent options are discussed.

Suggested Citation

  • Belal E. Baaquie & Claudio Coriano & Marakani Srikant, 2002. "Quantum Mechanics, Path Integrals and Option Pricing: Reducing the Complexity of Finance," Papers cond-mat/0208191, arXiv.org, revised Aug 2002.
    • Handle: RePEc:arx:papers:cond-mat/0208191
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/0208191
    File Function: Latest version
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. L. Ingber, 2018. "Quantum path integral for financial options," Lester Ingber Papers 18qp, Lester Ingber.
    2. L. Ingber, 2018. "Quantum Variables in Finance and Neuroscience," Lester Ingber Papers 18qv, Lester Ingber.
    3. L. Ingber, 2017. "Quantum Path-Integral qPATHINT Algorithm," Lester Ingber Papers 17qa, Lester Ingber.
    4. A. Jakovac, 2020. "Finance from the viewpoint of physics," Papers 2001.09446, arXiv.org, revised Jan 2020.
    5. L. Ingber, 2017. "Evolution of regenerative Ca-ion wave-packet in neuronal-firing fields: Quantum path-integral with serial shocks," Lester Ingber Papers 17qp, Lester Ingber.
    6. L. Ingber, 2016. "Path-integral quantum PATHTREE and PATHINT algorithms," Lester Ingber Papers 16pi, Lester Ingber.
    7. L. Ingber, 2017. "Options on quantum money: Quantum path-integral with serial shocks," Lester Ingber Papers 17oq, Lester Ingber.
    8. L. Ingber, 2021. "Hybrid classical-quantum computing: Applications to statistical mechanics of financial markets," Lester Ingber Papers 21cq, Lester Ingber.
    9. L. Ingber, 2020. "Revisiting Our Quantum World," Lester Ingber Papers 20rq, Lester Ingber.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/0208191. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.