The wave-equivalent of the Black–Scholes option price: an interpretation

Emmanuel Haven

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 142-145

Abstract: We propose an interpretation of the wave-equivalent of the Black–Scholes option price. We consider Nelson's version of the Brownian motion (Dynamical Theories of Brownian Motion, Princeton University Press, Princeton, NJ, 1967) and we use this specific motion as an input to produce a Black–Scholes PDE with a risk premium.

Keywords: Nelson–Brownian motion; Wave-equivalent Black–Scholes option price (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:142-145

DOI: 10.1016/j.physa.2004.06.105

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