QUANTUM THEORY FOR THE BINOMIAL MODEL IN FINANCE THEORY

(整期优先)网络出版时间:2004-04-14
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Inthispaper,aquantummodelforthebinomialmarketinfinanceisproposed.Weshowthatitsrisk-neutralworldexhibitsanintriguingstructureasadiskintheunitballofR^3,whoseradiusisafunctionoftherisk-freeinterestratewithtwothresholdswhichpreventarbitrageopportunitiesfromthisquantummarket.Furthermore,fromthequantummechanicalpointofviewwere-deducetheCox-Ross-RubinsteinbinomialoptionpricingformulabyconsideringMaxwell-BoltzmannstatisticsofthesystemofNdistinguishableparticles.