A quantum model of option pricing: When BlackScholes meets Schrdinger and its semi-classical limit

Physica A: Statistical Mechanics and its Applications

Volumn 389, Issue 23, 2010, Pages 5447-5459

  Contreras, Mauricio ^a   Pellicer, Rely ^a   Villena, Marcelo ^a   Ruiz, Aaron ^a  

^a UNIVERSIDAD ADOLFO IBÁÑEZ   (Chile)

Author keywords

Arbitrage; BlackScholes model; Option pricing; Quantum mechanics; Semi classical methods

Indexed keywords

COMMERCE; COSTS; QUANTUM THEORY; RISK PERCEPTION; WAVE FUNCTIONS;

APPROXIMATE ANALYTICAL SOLUTIONS; ARBITRAGE; ASYMMETRIC INFORMATION; BLACK SCHOLES EQUATIONS; BLACK-SCHOLES MODEL; CLASSICAL METHODS; OPTION PRICING; SEMI-CLASSICAL APPROXIMATION;

FINANCIAL MARKETS;

EID: 77957755603     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2010.08.018     Document Type: Article

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