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The wave-equivalent of the Black–Scholes option price: an interpretation

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  • Haven, Emmanuel

Abstract

We propose an interpretation of the wave-equivalent of the Black–Scholes option price. We consider Nelson's version of the Brownian motion (Dynamical Theories of Brownian Motion, Princeton University Press, Princeton, NJ, 1967) and we use this specific motion as an input to produce a Black–Scholes PDE with a risk premium.

Suggested Citation

  • Haven, Emmanuel, 2004. "The wave-equivalent of the Black–Scholes option price: an interpretation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 344(1), pages 142-145.
    • Handle: RePEc:eee:phsmap:v:344:y:2004:i:1:p:142-145
    DOI: 10.1016/j.physa.2004.06.105
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    References listed on IDEAS

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    1. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
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    Cited by:

    1. Khrennikov, Andrei, 2008. "Quantum-like microeconomics: Statistical model of distribution of investments and production," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5826-5843.
    2. Rotundo, Giulia, 2014. "Black–Scholes–Schrödinger–Zipf–Mandelbrot model framework for improving a study of the coauthor core score," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 404(C), pages 296-301.
    3. Pineiro-Chousa, Juan & Vizcaíno-González, Marcos, 2016. "A quantum derivation of a reputational risk premium," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 304-309.

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