1Centro Vito Volterra, Università di Roma Tor Vergata via Columbia 2, 00133 Roma, Italy. E-mail: accardi@volterra.mat.uniroma2.it
2Department of Mathematics and Natural Sciences The American College of Greece, Aghia Paraskevi, Athens 15342, Greece. E-mail: andreasboukas@acgmail.gr
2000 Mathematics Subject Classification: 81S25, 91B70.
Motivated by the work of Segal and Segal in [16] on the Black-Scholes pricing formula in the quantum context, we study a quantum extension of the Black-Scholes equation within the context of Hudson-Parthasarathy quantum stochastic calculus,. Our model includes stock markets described by quantum Brownian motion and Poisson process.
Option Pricing, Black-Scholes equation, Quantum Stochastic Calculus
