pith. sign in

arxiv: quant-ph/0112156 · v6 · pith:HO7NZDSSnew · submitted 2001-12-25 · 🪐 quant-ph

Quantum Theory for the Binomial Model in Finance Theory

classification 🪐 quant-ph
keywords quantumbinomialfinancemarketmodeltheoryarbitrageball
0
0 comments X
read the original abstract

In this paper, a quantum model for the binomial market in finance is proposed. We show that its risk-neutral world exhibits an intriguing structure as a disk in the unit ball of ${\bf R}^3,$ whose radius is a function of the risk-free interest rate with two thresholds which prevent arbitrage opportunities from this quantum market. Furthermore, from the quantum mechanical point of view we re-deduce the Cox-Ross-Rubinstein binomial option pricing formula by considering Maxwell-Boltzmann statistics of the system of $N$ distinguishable particles.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.