Option volatility and the acceleration Lagrangian

This paper develops a volatility formula for option on an asset from an acceleration Lagrangian model and the formula is calibrated with market data. The Black–Scholes model is a simpler case that has a velocity dependent Lagrangian.

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Year of publication:	2014
Authors:	Baaquie, Belal E. ; Cao, Yang
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 393.2014, C, p. 337-363
Publisher:	Elsevier
Subject:	Option \| Lagrangian with acceleration \| Quantum finance

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010709980