quantum finance hamiltonian for coupon bond european and：欧洲债券券债券的量子金融哈密顿量.pdfVIP

Quantum Finance Hamiltonian for Coupon Bond European and Barrier Options Belal E. Baaquie RMI Working Paper No. 07/34 Submitted: November 27, 2007 Abstract Coupon bond European and barrier options are financial derivatives that can be analyzed in the Hamiltonian formulation of quantum finance. Forward interest rates are modeled as a two dimensional quantum field theory and it’s Hamiltonian and state space is defined. European and barrier options are realized as transition amplitudes of the time integrated Hamiltonian operator. The double barrier option for a financial instrument is `knocked out (terminated with zero value) if the price of the underlying instrument exceeds or falls below pre-set limits; the barrier option is realized by imposing boundary conditions on the eigenfunctions of the forward interest rates Hamiltonian. The European coupon bond option and the zero coupon bond barrier option are calculated. It is shown that, is general, the constraint function for a coupon bond barrier option can -- to a good approximation -- be linearized. A calculation using an overcomplete set of eigenfunctions yields an approximate price for the coupon bond barrier option, which is the integral of a factor that results from the barrier function times another factor that encodes the payoff function. Belal E. Baaquie Department of Physics National University of Singapore Blk S13, 03-03 2 Science Drive 3 Singapore 117542 Tel: (65) 6516-2963 Fax: (65) 6777-6126 Email: phybeb@nus.edu.sg