An `ℏ-Brownian motion' and the existence of stochastic option prices

Emmanuel Haven

Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 152-155

Abstract: We introduce a particular type of Brownian motion, i.e., a Brownian motion with a diffusion coefficient containing ℏ. We show that under classical Black–Scholes methodology we can obtain a PDE with a stochastic rate of return. In this environment of `non-classical' uncertainty valued preferences for risk may exist.

Keywords: ℏ-Brownian motion; Stochastic option price; Valued preferences for risk (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:152-155

DOI: 10.1016/j.physa.2004.06.107

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