Title of article :
Quantum extension of European option pricing based on the Ornstein–Uhlenbeck process
Author/Authors :
Edward W. Piotrowski، نويسنده , , Ma?gorzata Schroeder، نويسنده , , Anna Zambrzycka، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2006
Pages :
7
From page :
176
To page :
182
Abstract :
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.
Journal title :
Physica A Statistical Mechanics and its Applications
Serial Year :
2006
Journal title :
Physica A Statistical Mechanics and its Applications
Record number :
871011
Link To Document :
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