Quantum calculus (q-calculus) and option pricing
a brief introduction
pp. 308-314
in: Peter Bruza, Donald A. Sofge, William F. Lawless (eds), Quantum interaction, Berlin, Springer, 2009Abstract
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.