Construction of a quantum finance model of option premia
| Author: | Bc. Pavel Irinkov |
|---|---|
| Year: | 2014 - winter |
| Leaders: | prof. PhDr. Ladislav Krištoufek Ph.D. |
| Consultants: | |
| Work type: | Bachelors |
| Language: | English |
| Pages: | 51 |
| Awards and prizes: | |
| Link: | https://is.cuni.cz/webapps/zzp/detail/124844/ |
| Abstract: | Last twenty years have seen a tremendous growth of the nancial mar- kets both in trading volumes and in sophistication of instruments. This ever-increasing complexity of the market structure necessitates use of math- ematically advanced models from the side of market participants. So far, the prevalent paradigm for these models has been the stochastic analysis as a branch of applied mathematics. In the last few years however, there has been an in ux of purely physical concepts and methodology, constituting nascent eld of econophysics. To what extent this new approach is useful remains, however, an open question. In my bachelor thesis I will focus on one sub eld of econophysics, namely quantum nance. First, I will give an overview of both stochastic analysis and the new quantum nance paradigm. Then using the framework of quantum theory and quantum eld theory I will construct a model of European stock option |
