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Quantum option pricing and data analysis

Wenyan Hao Claude Lefèvre Muhsin Tamturk Sergey Utev

*Corresponding author: Sergey Utev su35@le.ac.uk

QFE2019,3,490doi:10.3934/QFE.2019.3.490

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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