Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process

Details Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process

2005-10-16

arxiv.org/abs/quant-ph/0510121v1

Physics

Quantum Physics

Scientific paper

10.1016/j.physa.2005.12.021

In this work we propose a option pricing model based on the
Ornstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which
is based on the quantum game theory. We show the differences between a
classical look which is price changing by a Wiener process and the pricing is
supported by a quantum model.

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