dorsal/arxiv
View SchemaQuantum extension of European option pricing based on the Ornstein-Uhlenbeck process
| Authors | Edward W. Piotrowski, Malgorzata Schroeder, Anna Zambrzycka |
|---|---|
| Categories | |
| ArXiv ID | quant-ph/0510121 |
| URL | https://arxiv.org/abs/quant-ph/0510121 |
| DOI | 10.1016/j.physa.2005.12.021 |
Abstract
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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"abstract": "In this work we propose a option pricing model based on the\nOrnstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which\nis based on the quantum game theory. We show the differences between a\nclassical look which is price changing by a Wiener process and the pricing is\nsupported by a quantum model.",
"arxiv_id": "quant-ph/0510121",
"authors": [
"Edward W. Piotrowski",
"Malgorzata Schroeder",
"Anna Zambrzycka"
],
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"quant-ph"
],
"doi": "10.1016/j.physa.2005.12.021",
"title": "Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process",
"url": "https://arxiv.org/abs/quant-ph/0510121"
},
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