تقرير
Modelling Uncertain Volatility Using Quantum Stochastic Calculus: Unitary vs Non-Unitary Time Evolution
| العنوان: | Modelling Uncertain Volatility Using Quantum Stochastic Calculus: Unitary vs Non-Unitary Time Evolution |
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| المؤلفون: | Hicks, Will |
| سنة النشر: | 2024 |
| المجموعة: | Quantitative Finance |
| مصطلحات موضوعية: | Quantitative Finance - Mathematical Finance, 81S25, 91G20 |
| الوصف: | In this article we look at stochastic processes with uncertain parameters, and consider different ways in which information is obtained when carrying out observations. For example we focus on the case of a the random evolution of a traded financial asset price with uncertain volatility. The quantum approach presented, allows us to encode different volatility levels in a state acting on a Hilbert space. We consider different means of defining projective measurements in order to track the evolution of a traded market price, and discuss the results of different Monte-Carlo simulations. Comment: 18 pages, 7 figures |
| نوع الوثيقة: | Working Paper |
| URL الوصول: | http://arxiv.org/abs/2407.04520 |
| رقم الأكسشن: | edsarx.2407.04520 |
| قاعدة البيانات: | arXiv |
| الوصف غير متاح. |