Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process
Quantum Physics
2009-11-11 v1
Abstract
In this work we propose a option pricing model based on the Ornstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which is based on the quantum game theory. We show the differences between a classical look which is price changing by a Wiener process and the pricing is supported by a quantum model.
Keywords
Cite
@article{arxiv.quant-ph/0510121,
title = {Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process},
author = {Edward W. Piotrowski and Malgorzata Schroeder and Anna Zambrzycka},
journal= {arXiv preprint arXiv:quant-ph/0510121},
year = {2009}
}