Masters Theses
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, its 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
Note about bibliography
Includes bibliographical references (page 46)
Rights
© 2007 Christian Müttel, All rights reserved.
Document Type
Thesis - Restricted Access
File Type
text
Language
English
Subject Headings
CalculusOptions (Finance) -- Mathematical models
Thesis Number
T 9234
Print OCLC #
236094841
Recommended Citation
Müttel, Christian, "The Black-Scholes equation in quantum calculus" (2007). Masters Theses. 5959.
https://scholarsmine.mst.edu/masters_theses/5959
Share My Thesis If you are the author of this work and would like to grant permission to make it openly accessible to all, please click the button above.
