Valuation of a Financial Claim Contingent on the Outcome of a Quantum Measurement

We consider a rational agent who at time 0 enters into a financial contract for which the payout is determined by a quantum measurement at some time T > 0. The state of the quantum system is given in the Heisenberg representation by a known density matrix p. How much will the agent be willing to pay at time 0 to enter into such a contract? In the case of a finite dimensional Hilbert space H, each such claim is represented by an observable X where the eigenvalues of X determine the amount paid if the corresponding outcome is obtained in the measurement. We prove, under reasonable axioms, that there exists a pricing state q which is equivalent to the physical state p such that the pricing function Π takes the linear form Π (X) = P_0T tr(q X) for any claim X, where P_0T is the one-period discount factor. By "equivalent" we mean that p and q share the same null space: thus, for any |ξ〉∈ H one has p|ξ〉 = 0 if and only if q|ξ〉 = 0. We introduce a class of optimization problems and solve for the optimal contract payout structure for a claim based on a given measurement. Then we consider the implications of the Kochen-Specker theorem in this setting and we look at the problem of forming portfolios of such contracts. Finally, we consider multi-period contracts.