Quantum Theory for the Binomial Model in Finance
نویسنده
چکیده
This paper is concerned with the quantum properties of the binomial model (or, the CRR-model). We show that the single-step binomial model is incomplete in the quantum setting. All risk-neutral states of the single-step binomial model in the quantum setting are characterized. Moreover, it is shown that all single-step models are incomplete in the quantum setting. Therefore, incompleteness is basic in ‘quantum finance’. PACS numbers: 03.65.-w, 03.65.Db, 05.30.-d
منابع مشابه
Quantum Theory for the Binomial Model in Finance Theory
This paper is concerned with the quantum properties of the binomial model (or, the CRR-model). We show that the single-step binomial model is incomplete in the quantum setting. All risk-neutral states of the single-step binomial model in the quantum setting are characterized. Moreover, it is shown that all single-step models are incomplete in the quantum setting. Therefore, incompleteness is ba...
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