The Black–Scholes pricing formula in the quantum context
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National Center for Biotechnology Information
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by W Segal - 1998 - Cited by 53 - Related articles
Mar 31, 1998 - An extension of the Black–Scholes option pricing formula to the quantum ... form on the ensemble, in which there is full simultaneous observability. ... (i) The “WeylStochastic Processes: From Physics to Finance
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Wolfgang Paul, Jörg Baschnagel - 1999 - Business & Economics
It is the thermodynamical potential of the canonical ensemble. ... In a similar way, we can interpret the risk-less delta-hedging in the Black- Scholes framework as ...
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Apr 11, 2013 - The popular Black-Scholes model and, in particular, the Nobel ..... In the canonical ensemble we replace the assumption of fixed energy with ...
Do Physical Analogies of Stock Market Crashes Make Sense?
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You visited this page on 8/5/14.
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In the micro-canonical ensemble: Energy of a state is a function of the S,V,N ...... The Black-Scholes-Merton model of option pricing extends the Bachelier theory.
Applications of non-equilibrium statistical mechanics - UBC ...
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University of British Columbia
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Nonextensive Entropy : Interdisciplinary Applications: ...
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Murray Gell-Mann Professor Sante Fe Institute, Constantino Tsallis Professor Brazilian Center for Physics Research - 2004 - Science
... 395 pseudo complex, 396 Black, F., 305 Black-Scholes differential equation, 36, ... Boltzmann-Gibbs canonical ensemble, 113 entropic measure, 264 entropy,Physics of Stochastic Processes: How Randomness Acts in Time
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... 185, 212 birth-and-death process, 85 bistability, 99 Black–Scholes equation, ... 29 Brusselator, 116 bumper-to-bumper distance, 306 c canonical ensemble, ...Monte Carlo Strategies in Scientific Computing
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Jun S. Liu - 2008 - Business & Economics
... 297 bioinformatics, 10-14 Black-Scholes formula, 201 block-motif model, 13, ... 101 Buffon's needle, vii canonical ensemble, 215 card shuffling, 246 CBMC, ...Problems on Statistical Mechanics - Page 281 - Google Books Result
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Thus, the entry for Black-body radiation indicates that this topic is mentioned on ... of Earth's, 6.19 Black-body radiation, 9; 2.1 1, 4.4, 4.5 Black-Scholes equation, 6.4 ... 6.3 Canonical ensemble, 6; 3.9-3.22, 3.28-3.30 Chemical potential, 2, 4, 7;
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Grand-canonical ensembles of gaussian random walks can be described by ... ory of financial markets, the Black-Scholes option price theory [10] (Nobel Prize ...
Quantum Field Theory of Particle Orbits with Large ...
users.physik.fu-berlin.de/~kleinert/398/398.pdf
Free University of Berlin
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Time series analysis for minority game simulations of ...
arxiv.org/pdf/physics/0203038
arXiv
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by FF Ferreira - Cited by 19 - Related articles
However, the geometric Brownian motion assumption of the Black-Scholes ... the model is similar to the grand canonical ensemble of statistical physics since.
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