量子期权定价与数据分析

IF 3.2 Q1 BUSINESS, FINANCE Quantitative Finance and Economics Pub Date : 2019-07-17 DOI:10.3934/QFE.2019.3.490
Wenyan Hao, C. Lefèvre, Muhsin Tamturk, S. Utev
{"title":"量子期权定价与数据分析","authors":"Wenyan Hao, C. Lefèvre, Muhsin Tamturk, S. Utev","doi":"10.3934/QFE.2019.3.490","DOIUrl":null,"url":null,"abstract":"The paper proposes to treat financial models using techniques of quantum mechanics. The methodology relies on the Dirac matrix formalism and the Feynman path integral approach. This leads us to reexamine in this framework the classical option pricing models of Cox-Ross-Rubinstein and Black-Scholes. Moreover, financial data are classified with respect to the spectrum of a certain observable and then analyzed to identify price jumps using supervised machine learning tools.","PeriodicalId":45226,"journal":{"name":"Quantitative Finance and Economics","volume":" ","pages":""},"PeriodicalIF":3.2000,"publicationDate":"2019-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"5","resultStr":"{\"title\":\"Quantum option pricing and data analysis\",\"authors\":\"Wenyan Hao, C. Lefèvre, Muhsin Tamturk, S. Utev\",\"doi\":\"10.3934/QFE.2019.3.490\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The paper proposes to treat financial models using techniques of quantum mechanics. The methodology relies on the Dirac matrix formalism and the Feynman path integral approach. This leads us to reexamine in this framework the classical option pricing models of Cox-Ross-Rubinstein and Black-Scholes. Moreover, financial data are classified with respect to the spectrum of a certain observable and then analyzed to identify price jumps using supervised machine learning tools.\",\"PeriodicalId\":45226,\"journal\":{\"name\":\"Quantitative Finance and Economics\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":3.2000,\"publicationDate\":\"2019-07-17\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"5\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Quantitative Finance and Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.3934/QFE.2019.3.490\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Quantitative Finance and Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3934/QFE.2019.3.490","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 5

摘要

本文提出用量子力学技术来处理金融模型。该方法依赖于狄拉克矩阵形式和费曼路径积分方法。这导致我们在这个框架下重新审视Cox-Ross-Rubinstein和Black-Scholes的经典期权定价模型。此外,金融数据根据某个可观察到的范围进行分类,然后使用有监督的机器学习工具进行分析,以识别价格跳跃。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
查看原文
分享 分享
微信好友 朋友圈 QQ好友 复制链接
本刊更多论文
Quantum option pricing and data analysis
The paper proposes to treat financial models using techniques of quantum mechanics. The methodology relies on the Dirac matrix formalism and the Feynman path integral approach. This leads us to reexamine in this framework the classical option pricing models of Cox-Ross-Rubinstein and Black-Scholes. Moreover, financial data are classified with respect to the spectrum of a certain observable and then analyzed to identify price jumps using supervised machine learning tools.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
CiteScore
0.30
自引率
1.90%
发文量
14
审稿时长
12 weeks
期刊最新文献
The effects of different modes of foreign bank entry in the Turkish banking sector during the 2007–2009 Global financial crisis Cost and performance of carbon risk in socially responsible mutual funds Investing in virtue and frowning at vice? Lessons from the global economic and financial crisis Wavelet-based systematic risk estimation for GCC stock markets and impact of the embargo on the Qatar case Autoregressive distributed lag estimation of bank financing and Nigerian manufacturing sector capacity utilization
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
0
微信
客服QQ
Book学术公众号 扫码关注我们
反馈
×
意见反馈
请填写您的意见或建议
请填写您的手机或邮箱
已复制链接
已复制链接
快去分享给好友吧!
我知道了
×
扫码分享
扫码分享
Book学术官方微信
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术
文献互助 智能选刊 最新文献 互助须知 联系我们:info@booksci.cn
Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。
Copyright © 2023 Book学术 All rights reserved.
ghs 京公网安备 11010802042870号 京ICP备2023020795号-1