NONCOMMUTATIVE VALUATION OF OPTIONS

被引：1
|
作者：
Herscovich, Estanislao [1 ]
机构：
[1] Univ Grenoble Alpes, Inst Joseph Fourier, 100 Rue Maths, F-38610 Gieres, France
来源：
REPORTS ON MATHEMATICAL PHYSICS | 2016年 / 78卷 / 03期
关键词：
noncommutative probability; involutive algebras; stock markets; trading strategies; hedging contingent claims; asset pricing; STOCK MARKETS;
D O I：
10.1016/S0034-4877(17)30015-0
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
The aim of this note is to show that the classical results in finance theory for pricing of derivatives, given by making use of the replication principle, can be extended to the noncommutative world. We believe that this could be of interest in quantum probability. The main result called the First fundamental theorem of asset pricing, states that a noncommutative stock market admits no-arbitrage if and only if it admits a noncommutative equivalent martingale probability.
引用
收藏
页码：371 / 386
页数：16
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