Feynman perturbation expansion for the price of coupon bond options and swaptions in quantum finance. II. Empirical.
نویسندگان
چکیده
The quantum finance pricing formulas for coupon bond options and swaptions derived by Baaquie [Phys. Rev. E 75, 016703 (2006)] are reviewed. We empirically study the swaption market and propose an efficient computational procedure for analyzing the data. Empirical results of the swaption price, volatility, and swaption correlation are compared with the predictions of quantum finance. The quantum finance model generates the market swaption price to over 90% accuracy.
منابع مشابه
Feynman perturbation expansion for the price of coupon bond options and swaptions in quantum finance. I. Theory.
European options on coupon bonds are studied in a quantum field theory model of forward interest rates. Swaptions are briefly reviewed. An approximation scheme for the coupon bond option price is developed based on the fact that the volatility of the forward interest rates is a small quantity. The field theory for the forward interest rates is Gaussian, but when the payoff function for the coup...
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ورودعنوان ژورنال:
- Physical review. E, Statistical, nonlinear, and soft matter physics
دوره 75 1 Pt 2 شماره
صفحات -
تاریخ انتشار 2007