Imaginary Mass, Black Scholes Variance, and Group Quantization
| Autor: | Santiago Garcia, Francisco J. Parres García |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Mellin transform
Laplace transform Group (mathematics) Astrophysics::High Energy Astrophysical Phenomena Mathematics::Optimization and Control Lie group Integral transform Unitary state Schrödinger equation General Relativity and Quantum Cosmology symbols.namesake Quantization (physics) Computer Science::Computational Engineering Finance and Science symbols Mathematical physics Mathematics |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3140485 |
| Popis: | We construct the Black-Scholes pricing framework using a non unitary central extension of the Galilei group that implements the numeraire invariance of the financial theory. Formally, Black-Scholes can be mapped to the case in which a free quantum particle acquires an imaginary mass inversely proportional to the Black-Scholes variance. The natural integral transform associated to the Black Scholes group is the non unitary bi-lateral Laplace transform. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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