Quantum extension of European option pricing based on the Ornstein–Uhlenbeck process

Edward Piotrowski (), Małgorzata Schroeder and Anna Zambrzycka

Physica A: Statistical Mechanics and its Applications, 2006, vol. 368, issue 1, 176-182

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.

Keywords: Stochastic processes; Econophysics; Finance; Wiener–Bachelier model; Ornstein–Uhlenbeck model (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (11)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:368:y:2006:i:1:p:176-182

DOI: 10.1016/j.physa.2005.12.021

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