Option volatility and the acceleration Lagrangian

DOI10.1016/J.PHYSA.2013.07.074MaRDI QIDQ1782476zbMATH OpenOpenAlexFDO

Authors G. Richomme

Publication date 20 September 2018

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2013.07.074

zbMATH Keywords

optionLagrangian with accelerationquantum finance

Mathematics Subject Classification ID

Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• Action with acceleration. I: Euclidean Hamiltonian and path integral
• Option volatility and the acceleration Lagrangian
• Pseudo-Hermiticity versus PT-symmetry III: Equivalence of pseudo-Hermiticity and the presence of antilinear symmetries
• Quantum Finance

Cited in

(4)

• Option price and market instability
• Option volatility and the acceleration Lagrangian
• A statistical model of the firm
• Bonds with index-linked stochastic coupons in quantum finance

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