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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2502.00938 |
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| _version_ | 1866916594852036608 |
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| author | Espinoza-García, Abraham Vega-Lara, Pablo Díaz-Barrón, Luis Rey Grovas, F. Teodoro Hernández |
| author_facet | Espinoza-García, Abraham Vega-Lara, Pablo Díaz-Barrón, Luis Rey Grovas, F. Teodoro Hernández |
| contents | Two novel and direct quantum mechanical representations of the Black-Scholes model are constructed based on the (Wick-rotated) quantization of two specific mechanical systems. The quantum setup is achieved by means of the associated Laplace-Beltrami operator (one for each model), and not by merely applying the usual naive rule. Additionally, the clear identification of the geometric content of the underlying classical framework is exploited in order to arrive at a noncommutative quantum mechanics generalization of the Black-Scholes model. We also consider a system consisting of two degrees of freedom whose (Wick-rotated) quantization leads to a model which can be seen as related to the Merton-Garman family. This model is also generalized via noncommutative quantum mechanics. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_00938 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | On Noncommutative Quantum Mechanics and the Black-Scholes Model Espinoza-García, Abraham Vega-Lara, Pablo Díaz-Barrón, Luis Rey Grovas, F. Teodoro Hernández Mathematical Finance Quantum Physics Two novel and direct quantum mechanical representations of the Black-Scholes model are constructed based on the (Wick-rotated) quantization of two specific mechanical systems. The quantum setup is achieved by means of the associated Laplace-Beltrami operator (one for each model), and not by merely applying the usual naive rule. Additionally, the clear identification of the geometric content of the underlying classical framework is exploited in order to arrive at a noncommutative quantum mechanics generalization of the Black-Scholes model. We also consider a system consisting of two degrees of freedom whose (Wick-rotated) quantization leads to a model which can be seen as related to the Merton-Garman family. This model is also generalized via noncommutative quantum mechanics. |
| title | On Noncommutative Quantum Mechanics and the Black-Scholes Model |
| topic | Mathematical Finance Quantum Physics |
| url | https://arxiv.org/abs/2502.00938 |