Option volatility and the acceleration Lagrangian

Belal E. Baaquie and Yang Cao

Physica A: Statistical Mechanics and its Applications, 2014, vol. 393, issue C, 337-363

Abstract: This paper develops a volatility formula for option on an asset from an acceleration Lagrangian model and the formula is calibrated with market data. The Black–Scholes model is a simpler case that has a velocity dependent Lagrangian.

Keywords: Option; Lagrangian with acceleration; Quantum finance (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:393:y:2014:i:c:p:337-363

DOI: 10.1016/j.physa.2013.07.074

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