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

DOI10.1016/S0378-4371(01)00568-4zbMath0992.91043OpenAlexW2001156984WikidataQ56687225 ScholiaQ56687225MaRDI QIDQ5956524

Publication date: 20 February 2002

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4371(01)00568-4

zbMATH Keywords

Black-Scholes model belief parameter Planck constant potential function probability of occurence of strategy paths Schrödinger differential equation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Foundations, quantum information and its processing, quantum axioms, and philosophy (81P99)

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Cites Work

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