A discussion on embedding the Black-Scholes option pricing model in a quantum physics setting

Physica A: Statistical Mechanics and its Applications

Volumn 304, Issue 3-4, 2002, Pages 507-524

  Haven, Emmanuel E ^a  

^a UNIVERSITY OF ESSEX   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

DIFFERENTIAL EQUATIONS; FINANCE; FUNCTIONS; MATHEMATICAL MODELS; PROBABILITY;

BLACK-SCHOLES OPTION PRICING MODEL;

QUANTUM THEORY;

EID: 0037084318     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(01)00568-4     Document Type: Article

References (6)

1. A path integral approach to option pricing with stochastic volatility: Some exact results
2. Foreign exchange market as a lattice gauge theory
3. Exact solution of a modified El Farol's bar problem: Efficiency and the role of market impact