| Título: | Relativistic quantum finance |
| Autor(es): | ROMERO SANPEDRO, JUAN MANUEL ZUBIETA MARTINEZ, ILSE B. |
| Temas: | Finanzas Cuánticas Ecuación de Black-Scholes Distribución de Cauchy Ecuación de Klein-Gordon |
| Fecha: | 2016 |
| Editorial: | Nueva York : Cornell University |
| Citation: | arXiv.org Cornell University 2016 |
| Resumen: | Employing the Klein-Gordon equation, we propose a generalized Black-Scholes equation. In addition, we found a limit where this generalized equation is invariant under conformal transformations, in particular invariant under scale transformations. In this limit, we show that the stock prices distribution is given by a Cauchy distribution, instead of a normal distribution. |
| URI: | http://ilitia.cua.uam.mx:8080/jspui/handle/123456789/781 |
| Aparece en las colecciones: | Artículos |
| Fichero | Descripción | Tamaño | Formato | |
|---|---|---|---|---|
| Relativistic Quantum Finance.pdf | 105.2 kB | Adobe PDF | Visualizar/Abrir |
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