Central and East European
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186002

Quantum calculus (q-calculus) and option pricing

a brief introduction

Emmanuel Haven

pp. 308-314

Abstract

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

Published in:

Bruza Peter, Sofge Donald A., Lawless William F. (2009) Quantum interaction: Third international symposium, Qi 2009, Saarbrücken, Germany, March 25-27, 2009. Dordrecht, Springer.

Pages: 308-314

DOI: 10.1007/978-3-642-00834-4_26

Full citation:

Haven Emmanuel (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, 308–314.