| 基于量子三叉树的量子Black-Scholes期权定价 |
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| 引用本文： | 汪飞星 等. 基于量子三叉树的量子Black-Scholes期权定价[J]. 价值工程, 2014, 0(1): 14-16 |
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| 作者姓名： | 汪飞星 等 |
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| 作者单位： | 北京科技大学数理学院,北京100083 |
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| 基金项目： | 国家自然科学基金（10901017）;教育部新世纪人才支,持计划（NCET-11-0574）. |
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| 摘 要： | 将量子概率引入到期权定价是最近几年一个新的研究趋势,也称为量子金融.为了期权定价更方便,文章建立了量子三叉树模型,同时利用量子概率建立了连续量子Black-Scholes(B-S)模型。实例应用和Matlab期权敏感性分析都验证了量子B-S优于经典B-S,从而为连续期权定价提供量子决策的途径。
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| 关 键 词： | 量子概率 量子三叉树 量子B-S模型 量子期权敏感性 |
Quantum Black-Scholes Option Pricing Based on Quantum Trigeminal Tree |
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| WANG Fei-xing; WANG Ying-shuai. Quantum Black-Scholes Option Pricing Based on Quantum Trigeminal Tree[J]. Value Engineering, 2014, 0(1): 14-16 |
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| Authors: | WANG Fei-xing WANG Ying-shuai |
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| Affiliation: | WANG Fei-xing; WANG Ying-shuai ( School of Mathematics and Physics, University of Science and Technology Beijing Beijing 100083 China ) |
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| Abstract: | Application of quantum probability in option pricing is a new trend in resent years, which also called ＂quantum finance＂. In order to make option pricing more convenient, quantum trigeminal tree and continuous quantum Black-Scholes （B-S） were established. Application example and analysis of option sensitivity show that quantum B-S is powerful than the classical, which could provide more beautiful results on option pricing. |
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| Keywords: | quantum probability quantum trigeminal tree quantum B-S model quantum option sensitivity |
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