The Black-Scholes equation in quantum calculus
"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, leaf iii.
Bohner, Martin, 1966-
Gelles, Gregory M.
Mathematics and Statistics
M.S. in Applied Mathematics
University of Missouri--Rolla
v, 47 leaves
© 2007 Christian Müttel, All rights reserved.
Thesis - Citation
Library of Congress Subject Headings
Options (Finance) -- Mathematical models
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Link to Catalog Record
Full-text not available: Request this publication directly from Missouri S&T Library or contact your local library.http://laurel.lso.missouri.edu/record=b6430857~S5
Müttel, Christian, "The Black-Scholes equation in quantum calculus" (2007). Masters Theses. 5959.
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