PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black–Scholes Equation
Abstract
:1. Introduction
2. Quantum Stochastic Processes and the Accardi–Boukas Quantum Black–Scholes
2.1. Market State Space
2.1.1. Initial Space
2.1.2. Boson Fock Space
2.1.3. Quantum Drift
2.1.4. Quantum Diffusion
2.2. Quantum Ito Formula, and Quantum Black–Scholes
2.2.1. Quantum Ito Formula
2.2.2. Non-Commutative Quantum Black–Scholes
2.2.3. Translations, and Classical Black–Scholes
2.2.4. Rotation, and Bid-Offer Interference
3. Nonlocal Diffusion and Quantum Stochastic Processes
3.1. Kolmogorov’s Forward Equation
3.2. Nonlocal Diffusion on a Riemannian Manifold
4. Path Integral Approach
4.1. First Attempt
4.2. Symmetric Quantum Mechanics
- (i)
- Real and Symmetric Hamiltonian ().
- (ii)
- An inner product that defines a positive norm: .
- (iii)
- A unitary time development operator.
4.3. Second Attempt
4.4. Fourier Transform Method
4.5. Legendre Transform Method
5. Numerical Results and Future Work
5.1. Numerical Results
5.2. Future Developments
5.2.1. Nonlocal Diffusions
5.2.2. Multi-Dimensional Quantum Stochastic Processes
5.2.3. Iterated Quantum Stochastic Processes
- Choose a quantum stochastic process.
- Identify the relevant Hamiltonian function, by which the path integral method can be applied.
- Feed back the Hamiltonian into a new quantum stochastic process as the quantum drift.
- Go back to step 1.
6. Conclusions
Funding
Conflicts of Interest
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Hicks, W. PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black–Scholes Equation. Entropy 2019, 21, 105. https://doi.org/10.3390/e21020105
Hicks W. PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black–Scholes Equation. Entropy. 2019; 21(2):105. https://doi.org/10.3390/e21020105
Chicago/Turabian StyleHicks, Will. 2019. "PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black–Scholes Equation" Entropy 21, no. 2: 105. https://doi.org/10.3390/e21020105
APA StyleHicks, W. (2019). PT Symmetry, Non-Gaussian Path Integrals, and the Quantum Black–Scholes Equation. Entropy, 21(2), 105. https://doi.org/10.3390/e21020105