Emergence of fuzzy preferences for risk in a Birkhoff-von Neumann logics environment
We show that if a portfolio of a financial derivative asset and a stock is put in an environment where the value of an asset (besides its price) is formalized as a superposition of price states, such portfolio may not be risk free and fuzzy preferences for risk premia may exist. We argue for a modification of the classical Brownian motion process as used in option pricing. This modification on the classical Brownian motion, we call the (h) over cap -Brownian motion and one specific format of this (h) over cap -Brownian motion can be shown to have a connection with the quantum physical Schrodinger equation. (c) 2005 Elsevier B.V All rights reserved.
fuzzy preference modelling finance black-scholes partial differential equation heisenberg uncertainty principle h-brownian motion