A Black-Scholes Schrödinger option price: ‘bit’ versus ‘qubit’

Emmanuel Haven

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 201-206

Abstract: The celebrated Black-Scholes differential equation provides for the price of a financial derivative. The uncertainty environment of such option price can be described by the classical ‘bit’: a system with two possible states. This paper argues for the introduction of a different uncertainty environment characterized by the so called ‘qubit’. We obtain an information-based option price and discuss the differences between this option price and the classical option price.

Keywords: Bit; Qubit; Time scale; Black-Scholes pde (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:201-206

DOI: 10.1016/S0378-4371(02)01846-0

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