CLASSICAL AND QUANTUM SYMMETRIES IN OPTION PRICING; A THEORETICAL APPROACH TO RISK AND RANDOMNESS IN FINANCE

被引：0
作者：
Barad, Gefry [1 ,2 ]
机构：
[1] Natl Inst Econ Res Costin C Kiritescu, INCE, Bucharest, Romania
[2] Natl Inst Econ Res Costin C Kiritescu, IMAR, Bucharest, Romania
来源：
METALURGIA INTERNATIONAL | 2012年 / 17卷 / 01期
关键词：
Black-Scholes option model; local volatility; differential geometry; risk management; econophysics; STOCHASTIC INTEGRALS; CHAOS;
D O I：
暂无
中图分类号：
TF [冶金工业];
学科分类号：
0806 ;
摘要：
We provide answers to some questions and suggested theoretical paths, raised by recent papers in the field of Econophysics [1]Haven (2008), where ideas from quantum field theory try to fill the gap between empirical studies on option pricing and reality of historical volatility of asset prices on one side, and on the other side the economic forecasting based on diffusion processes; we wrote down a PDE characterizing certain local volatility models and a class of hypergeometric solutions, and we have a simple test to check if a basket option is heat-solvable.
引用
收藏
页码：152 / 157
页数：6
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