TY - JOUR
TI - Gauge symmetries and the Higgs mechanism in Quantum Finance
AU - Arraut, Ivan
T2 - Europhysics Letters
AB - By using the Hamiltonian formulation, we demonstrate that the Merton-Garman equation emerges naturally from the Black-Scholes equation after imposing invariance (symmetry) under local (gauge) transformations over changes in the stock price. This is the case because imposing gauge symmetry implies the appearance of an additional field, which corresponds to the stochastic volatility. The gauge symmetry then imposes some constraints over the free parameters of the Merton-Garman Hamiltonian. Finally, we analyze how the stochastic volatility gets massive dynamically via Higgs mechanism.
DA - 2023/08//
PY - 2023
DO - 10.1209/0295-5075/acedce
DP - Institute of Physics
VL - 143
IS - 4
SP - 42001
J2 - EPL
LA - en
SN - 0295-5075
UR - https://dx.doi.org/10.1209/0295-5075/acedce
Y2 - 2023/08/18/09:17:30
ER -