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

In this paper we propose an option pricing model based on the Ornstein–Uhlenbeck process. It is a fresh look at the option pricing which is grounded on the quantum game theory and it is more subtle. We show the differences between a classical look which is price changing by a Wiener process and the pricing supported by a quantum model. These differences are visible for very liquid financial instruments.

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Year of publication:	2006
Authors:	Piotrowski, Edward W. ; Schroeder, Małgorzata ; Zambrzycka, Anna
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 368.2006, 1, p. 176-182
Publisher:	Elsevier
Subject:	Stochastic processes \| Econophysics \| Finance \| Wiener–Bachelier model \| Ornstein–Uhlenbeck model

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

Persistent link: https://www.econbiz.de/10011061605