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Quantum Analog of the Black- Scholes Formula(market of financial derivatives as a continuous weak measurement)
Electronic Journal of Theoretical Physics (EJTP) 5 (18):95–104 (2008)
Abstract
We analyze the properties of optimum portfolios, the price of which is considered a new quantum variable and derive a quantum analog of the Black-Scholes formula for the price of financial variables in assumption that the market dynamics can by considered as its continuous weak measurement at no-arbitrage condition.Author's Profile
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