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Pricing of stock linked structured products based on quantum field theory. (Chinese. English summary) Zbl 1463.91143

Summary: In this paper, by means of quantum finance, the discount factor is obtained by using the quantum field theory model of forward interest rate, and then the pricing model of stock linked structured products under the quantum field theory is constructed. Furthermore, we select sample product to make empirical study. It is found that the quantum field theory model of the forward interest rate takes into account the correlation between the forward interest rate with different maturities, and its fitting accuracy of market data is much higher than the traditional HJM model. The pricing model of stock linked structured products under the quantum field theory can be used to calculate the theoretical value of stock-linked structured products, so as to provide the method of value judgment for the issuer of the products and the investors.

MSC:

91G15 Financial markets
81T99 Quantum field theory; related classical field theories
91G80 Financial applications of other theories
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