Calibration and simulation of arbitrage effects in a non-equilibrium quantum black-scholes model by using semi-classical methods
Mauricio Contreras, Rely Pellicer, Daniel Santiagos, Marcelo Villena
| Year of publication: |
November 2016
|
|---|---|
| Authors: | Contreras, Mauricio ; Pellicer, Rely ; Santiagos, Daniel ; Villena, Marcelo J. |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 4, p. 541-561
|
| Subject: | Option Pricing | Non-Equilibrium Black-Scholes Model | Semi-Classical Approximation | Quantum Mechanical Methods | Crank-Nicholson Method | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Simulation | Arbitrage | Finanzmathematik | Mathematical finance | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2016.64042 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011656953