QUANTUM THEORY FOR THE BINOMIAL MODEL IN FINANCE THEORY  

作　　者：CHENZeqian 

机构地区：[1]WuhanInstituteofPhysicsandMathematics,ChineseAcademyofSciences,P.O.Box71010,Wuhan430071,China

出　　处：《Journal of Systems Science & Complexity》2004年第4期567-573,共7页系统科学与复杂性学报（英文版）

摘　　要：In this paper, a quantum model for the binomial market in finance is proposed. We show that its risk-neutral world exhibits an intriguing structure as a disk in the unit ball of R^3, whose radius is a function of the risk-free interest rate with two thresholds which prevent arbitrage opportunities from this quantum market. Furthermore, from the quantum mechanical point of view we re-deduce the Cox-Ross-Rubinstein binomial option pricing formula by considering Maxwell-Boltzmann statistics of the system of N distinguishable particles.

关 键 词：binomial markets quantum models maxwell-boltzmann statistics OPTIONS risk-neutral world 

分 类 号：F810[经济管理—财政学] F224