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Quantum option pricing and data analysis

1 University of Leicester, Department of Mathematics, University Road, Leicester LE1 7RH, United Kingdom
2 Université Libre de Bruxelles, Département de Mathématique, Campus Plaine C.P. 210, B-1050 Bruxelles, Belgium

Special Issues: International Finance and Insurance Innovation, Risk and Regulation

The paper proposes to treat financial models using techniques of quantum mechanics. The methodology relies on the Dirac matrix formalism and the Feynman path integral approach. This leads us to reexamine in this framework the classical option pricing models of Cox-Ross-Rubinstein and Black-Scholes. Moreover, financial data are classified with respect to the spectrum of a certain observable and then analyzed to identify price jumps using supervised machine learning tools.
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© 2019 the Author(s), licensee AIMS Press. This is an open access article distributed under the terms of the Creative Commons Attribution Licese (http://creativecommons.org/licenses/by/4.0)

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