Repository | Book | Chapter
(2009) Quantum interaction, Dordrecht, Springer.
q-calculus, also known under the name of h-calculus, has found wide applications in many areas of mathematics. In this paper we provide for a basic financial option pricing application where we try to rationalize the use of a q-derivative. We provide for a brief discussion on how the value of q can be an indicator of either the use (or not the use) of the risk free rate of interest in the option pricing partial differential equation.
Publication details
DOI: 10.1007/978-3-642-00834-4_26
Full citation:
Haven, E. (2009)., Quantum calculus (q-calculus) and option pricing: a brief introduction, in P. Bruza, D. A. Sofge & W. F. Lawless (eds.), Quantum interaction, Dordrecht, Springer, pp. 308-314.
This document is unfortunately not available for download at the moment.