Abstract
q-calculus, also known under the name of h-calculus, has found wide applications in many areas of mathematics. In this paper we provide for a basic financial option pricing application where we try to rationalize the use of a q-derivative. We provide for a brief discussion on how the value of q can be an indicator of either the use (or not the use) of the risk free rate of interest in the option pricing partial differential equation.
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Haven, E. (2009). Quantum Calculus (q-Calculus) and Option Pricing: A Brief Introduction. In: Bruza, P., Sofge, D., Lawless, W., van Rijsbergen, K., Klusch, M. (eds) Quantum Interaction. QI 2009. Lecture Notes in Computer Science(), vol 5494. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-00834-4_26
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DOI: https://doi.org/10.1007/978-3-642-00834-4_26
Publisher Name: Springer, Berlin, Heidelberg
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