2023/07/14 by Chao Guo, Guo, Chao, Yao, Ning
Economics, Econometrics and Finance · Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #FOS: Economics and business #FOS: Physical sciences #Pricing of Securities (q-fin.PR) #Quantum Physics (quant-ph) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.2307.07103
openalex publication_date 2023/07/14 · openalex created_date 2023/07/18 · openalex updated_date 2026/07/28
In this paper, we study option pricing under Vasicek Model by a Hamiltonian approach. Since the interest rate changes with time, we split the time to maturity into infinite steps, and the matrix element during each step could be calculated by quantum mechanics methods. Using completeness condition, the pricing kernel and the integral expression of option price could also be derived. Numerical results of option prices as functions of underlying asset price, floating rate and regression rate are also shown.