摘要
In this paper, a quantum model for the binomial market in finance is proposed. We show that its risk-neutral world exhibits an intriguing structure as a disk in the unit ball of R^3, whose radius is a function of the risk-free interest rate with two thresholds which prevent arbitrage opportunities from this quantum market. Furthermore, from the quantum mechanical point of view we re-deduce the Cox-Ross-Rubinstein binomial option pricing formula by considering Maxwell-Boltzmann statistics of the system of N distinguishable particles.
In this paper, a quantum model for the binomial market in finance isproposed. We show that its risk-neutral world exhibits an intriguing structure as a disk in the unitball of R^3, whose radius is a function of the risk-free interest rate with two thresholds whichprevent arbitrage opportunities from this quantum market. Furthermore, from the quantum mechanicalpoint of view we re-deduce the Cox-Ross-Rubinstein binomial option pricing formula by consideringMaxwell-Boltzmann statistics of the system of N distinguishable particles.
