Quantum option pricing and data analysis
The paper proposes to treat financial models using techniques of quantum mechanics. The methodology relies on the Dirac matrix formalism and the Feynman path integral approach. This leads us to reexamine in this framework the classical option pricing models of Cox-Ross-Rubinstein and Black-Scholes....
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2019-07-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/10.3934/QFE.2019.3.490/fulltext.html |
| _version_ | 1818189043464142848 |
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| author | Wenyan Hao Claude Lefèvre Muhsin Tamturk Sergey Utev |
| author_facet | Wenyan Hao Claude Lefèvre Muhsin Tamturk Sergey Utev |
| author_sort | Wenyan Hao |
| collection | DOAJ |
| description | The paper proposes to treat financial models using techniques of quantum mechanics. The methodology relies on the Dirac matrix formalism and the Feynman path integral approach. This leads us to reexamine in this framework the classical option pricing models of Cox-Ross-Rubinstein and Black-Scholes. Moreover, financial data are classified with respect to the spectrum of a certain observable and then analyzed to identify price jumps using supervised machine learning tools. |
| first_indexed | 2024-12-11T23:36:33Z |
| format | Article |
| id | doaj.art-1db798ef518041408522a64797025860 |
| institution | Directory Open Access Journal |
| issn | 2573-0134 |
| language | English |
| last_indexed | 2024-12-11T23:36:33Z |
| publishDate | 2019-07-01 |
| publisher | AIMS Press |
| record_format | Article |
| series | Quantitative Finance and Economics |
| spelling | doaj.art-1db798ef518041408522a647970258602022-12-22T00:45:50ZengAIMS PressQuantitative Finance and Economics2573-01342019-07-013349050710.3934/QFE.2019.3.490Quantum option pricing and data analysisWenyan Hao0Claude Lefèvre1Muhsin Tamturk2Sergey Utev31 University of Leicester, Department of Mathematics, University Road, Leicester LE1 7RH, United Kingdom2 Université Libre de Bruxelles, Département de Mathématique, Campus Plaine C.P. 210, B-1050 Bruxelles, Belgium1 University of Leicester, Department of Mathematics, University Road, Leicester LE1 7RH, United Kingdom1 University of Leicester, Department of Mathematics, University Road, Leicester LE1 7RH, United KingdomThe paper proposes to treat financial models using techniques of quantum mechanics. The methodology relies on the Dirac matrix formalism and the Feynman path integral approach. This leads us to reexamine in this framework the classical option pricing models of Cox-Ross-Rubinstein and Black-Scholes. Moreover, financial data are classified with respect to the spectrum of a certain observable and then analyzed to identify price jumps using supervised machine learning tools.https://www.aimspress.com/article/10.3934/QFE.2019.3.490/fulltext.htmloption pricingquantum binomial modelquantum mechanicsmachine learningdata analysis |
| spellingShingle | Wenyan Hao Claude Lefèvre Muhsin Tamturk Sergey Utev Quantum option pricing and data analysis Quantitative Finance and Economics option pricing quantum binomial model quantum mechanics machine learning data analysis |
| title | Quantum option pricing and data analysis |
| title_full | Quantum option pricing and data analysis |
| title_fullStr | Quantum option pricing and data analysis |
| title_full_unstemmed | Quantum option pricing and data analysis |
| title_short | Quantum option pricing and data analysis |
| title_sort | quantum option pricing and data analysis |
| topic | option pricing quantum binomial model quantum mechanics machine learning data analysis |
| url | https://www.aimspress.com/article/10.3934/QFE.2019.3.490/fulltext.html |
| work_keys_str_mv | AT wenyanhao quantumoptionpricinganddataanalysis AT claudelefevre quantumoptionpricinganddataanalysis AT muhsintamturk quantumoptionpricinganddataanalysis AT sergeyutev quantumoptionpricinganddataanalysis |