2013/04/18 by Juan M. Romero, Romero, Juan M., Ulises Lavana +3
Economics, Econometrics and Finance · Physics and Astronomy · #FOS: Economics and business #FOS: Physical sciences #General Finance (q-fin.GN) #General Physics (physics.gen-ph) #physics.gen-ph #q-fin.GN
paper · pdf · doi:10.48550/arxiv.1304.4995
10 page, non figures
arxiv created 2013/04/18 · arxiv updated 2013/04/19
Using the one dimensional free particle symmetries, the quantum finance symmetries are obtained. Namely, it is shown that Black-Scholes equation is invariant under Schrödinger group. In order to do this, the one dimensional free non-relativistic particle and its symmetries are revisited. To get the Black-Scholes equation symmetries, the particle mass is identified as the inverse of square of the volatility. Furthermore, using financial variables, a Schrödinger algebra representation is constructed.