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Paper / 2019SMQ / 206487433687740
The connection between multiple prices of an Option at a given time with single prices defined at different times: The concept of weak-value in quantum finance
Alan Au / Alan Ching-biu Tse / Carlos Segovia / Ivan Arraut
mathematical finance / option pricingResource overview

The connection between multiple prices of an Option at a given time with single prices defined at different times: The concept of weak-value in quantum finance

Paper2019

by Alan Au, Alan Ching-biu Tse, Carlos Segovia, Ivan Arraut

Tags
mathematical financeoption pricing

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Suggested foundations for options and derivatives pricing. Specialist prerequisites vary by paper.

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  1. The Binomial Model

    Build replication and risk-neutral probabilities in a tractable model.

  2. Market Model and Risk-Neutral Valuation

    Distinguish pricing probabilities from physical forecasts.

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  1. The Black-Scholes PDE, Formula and Implied Volatility

    Connect the pricing equation, closed-form value and implied volatility.

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