Noncommutative valuation of options

DOI10.1016/S0034-4877(17)30015-0zbMath1386.91182OpenAlexW2590582464MaRDI QIDQ1744703

Estanislao Herscovich

Publication date: 19 April 2018

Published in: Reports on Mathematical Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0034-4877(17)30015-0

zbMATH Keywords

asset pricingtrading strategiesnoncommutative probabilitystock marketsinvolutive algebrashedging contingent claims

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Noncommutative probability and statistics (46L53)

Cites Work

• Conditional expectation in an operator algebra. II
• Nonrelativistic quantum mechanics as a noncommutative Markov process
• Quantum finance
• Simplified stock markets described by number operators
• Quantum theory for the binomial model in finance theory
• Conditional expectation in an operator algebra
• A remark on the expectations of operator algebras
• A Noncommutative Probability Theory
• Real Analysis and Probability
• An operatorial approach to stock markets
• Formes linéaires sur un anneau d'opérateurs
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