Feynman perturbation expansion for the price of coupon bond options and swaptions in quantum finance. II. Empirical

Abstract

The quantum finance pricing formulas for coupon bond options and swaptions derived by Baaquie [Phys. Rev. E 75, 016703 (2006)] are reviewed. We empirically study the swaption market and propose an efficient computational procedure for analyzing the data. Empirical results of the swaption price, volatility, and swaption correlation are compared with the predictions of quantum finance. The quantum finance model generates the market swaption price to over 90% accuracy. © 2007 The American Physical Society.