| QUANTUM THEORY FOR THE BINOMIAL MODEL IN FINANCE THEORY |
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| 引用本文： | CHENZeqian. QUANTUM THEORY FOR THE BINOMIAL MODEL IN FINANCE THEORY[J]. 系统科学与复杂性, 2004, 17(4): 567-573 |
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| 作者姓名： | CHENZeqian |
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| 作者单位： | Wuhan Institute of Physics and Mathematics，Chinese Academy of Sciences，P.O.Box71010，Wuhan 430071，China |
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| 摘 要： | 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 R3, 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.
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| 关 键 词： | 量子论理论 二项式市场 财政理论 麦克斯韦-玻尔兹曼统计 购买权 冒险-中立世界 |
QUANTUM THEORY FOR THE BINOMIAL MODEL IN FINANCE THEORY |
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| CHEN Zeqian. QUANTUM THEORY FOR THE BINOMIAL MODEL IN FINANCE THEORY[J]. Journal of Systems Science and Complexity, 2004, 17(4): 567-573 |
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| Authors: | CHEN Zeqian |
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| 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 R3, 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. |
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| Keywords: | Binomial markets quantum models Maxwell-Boltzmann statistics options risk-neutral world. |
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