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https://doi.org/10.1016/j.physa.2010.08.046
DC Field | Value | |
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dc.title | Simulation of coupon bond European and barrier options in quantum finance | |
dc.contributor.author | Baaquie, B.E. | |
dc.contributor.author | Pan, T. | |
dc.date.accessioned | 2014-10-16T09:41:01Z | |
dc.date.available | 2014-10-16T09:41:01Z | |
dc.date.issued | 2010-01-15 | |
dc.identifier.citation | Baaquie, B.E., Pan, T. (2010-01-15). Simulation of coupon bond European and barrier options in quantum finance. Physica A: Statistical Mechanics and its Applications 390 (2) : 263-289. ScholarBank@NUS Repository. https://doi.org/10.1016/j.physa.2010.08.046 | |
dc.identifier.issn | 03784371 | |
dc.identifier.uri | http://scholarbank.nus.edu.sg/handle/10635/97930 | |
dc.description.abstract | Coupon bond European and barrier options are studied in the framework of quantum finance. The prices of European and barrier options are analyzed by generating sample values of the forward interest rates f(t,x) using a two-dimensional Gaussian quantum field A(t,x). The strong correlations of forward interest rates are described by the stiff propagator of the quantum field A(t,x). Using the Cholesky decomposition, A(t,x) is expressed in terms of white noise. The simulation results for European coupon bond and barrier options are compared with approximate formulas, which are obtained as power series in the volatility of the forward interest rates. The simulation shows that the simulated price deviates from the approximate value for large volatilities. The numerical algorithm is flexible and can be used for pricing any kind of option. It is shown that the three-factor HJM model can be derived from the quantum finance formulation. © 2010 Elsevier B.V. All rights reserved. | |
dc.description.uri | http://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/j.physa.2010.08.046 | |
dc.source | Scopus | |
dc.subject | Barrier option | |
dc.subject | Coupon bond option | |
dc.subject | Monte Carlo simulation | |
dc.subject | Quantum finance | |
dc.type | Article | |
dc.contributor.department | PHYSICS | |
dc.description.doi | 10.1016/j.physa.2010.08.046 | |
dc.description.sourcetitle | Physica A: Statistical Mechanics and its Applications | |
dc.description.volume | 390 | |
dc.description.issue | 2 | |
dc.description.page | 263-289 | |
dc.description.coden | PHYAD | |
dc.identifier.isiut | 000285655100015 | |
Appears in Collections: | Staff Publications |
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