基于量子三叉树的量子Black-Scholes期权定价  

Quantum Black-Scholes Option Pricing Based on Quantum Trigeminal Tree

作　　者：汪飞星[1] 王颖帅 

机构地区：[1]北京科技大学数理学院,北京100083

出　　处：《价值工程》2014年第1期14-16,共3页Value Engineering

基　　金：国家自然科学基金(10901017);教育部新世纪人才支持计划(NCET-11-0574)

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。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.

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 

分 类 号：F830[经济管理—金融学] O413[理学—理论物理]