The Black-Scholes equation in quantum calculus

Author

Christian Müttel

Abstract

"The objective of this thesis is to derive a version of the Black-Scholes formula in quantum calculus. Following a brief introduction in finance, quantum calculus, and probability theory, It'̥s lemma is proven under different assumptions. To do so, Taylor's theorem and basic stochastic methods are used. The consequential results are accompanied by examples concerning a change of the range of the needed processes. Moreover, a comparison of these results with those in the continuous case is described. Finally, the quality of the model is evaluated"--Abstract, page iii.

Advisor(s)

Bohner, Martin, 1966-

Committee Member(s)

Dwilewicz, Roman
Gelles, Gregory M.

Department(s)

Mathematics and Statistics

Degree Name

M.S. in Applied Mathematics

Publisher

University of Missouri--Rolla

Publication Date

Summer 2007

Pagination

v, 47 pages

Rights

© 2007 Christian Müttel, All rights reserved.

Document Type

Thesis - Citation

File Type

text

Language

English

Subject Headings

Calculus
Options (Finance) -- Mathematical models

Thesis Number

T 9234

Print OCLC #

236094841

Link to Catalog Record

Full-text not available: Request this publication directly from Missouri S&T Library or contact your local library.

Recommended Citation

Müttel, Christian, "The Black-Scholes equation in quantum calculus" (2007). Masters Theses. 5959.
https://scholarsmine.mst.edu/masters_theses/5959