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Option volatility and the acceleration Lagrangian

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  • Baaquie, Belal E.
  • Cao, Yang

Abstract

This paper develops a volatility formula for option on an asset from an acceleration Lagrangian model and the formula is calibrated with market data. The Black–Scholes model is a simpler case that has a velocity dependent Lagrangian.

Suggested Citation

  • Baaquie, Belal E. & Cao, Yang, 2014. "Option volatility and the acceleration Lagrangian," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 393(C), pages 337-363.
    • Handle: RePEc:eee:phsmap:v:393:y:2014:i:c:p:337-363
    DOI: 10.1016/j.physa.2013.07.074
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    References listed on IDEAS

    as
    1. Baaquie, Belal E. & Cao, Yang & Lau, Ada & Tang, Pan, 2012. "Path integral for equities: Dynamic correlation and empirical analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(4), pages 1408-1427.
    2. Baaquie, Belal E. & Yang, Cao, 2009. "Empirical analysis of quantum finance interest rates models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(13), pages 2666-2681.
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    Citations

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    Cited by:

    1. Baaquie, Belal Ehsan, 2019. "A statistical model of the firm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 392-411.
    2. Baaquie, Belal E. & Yu, Miao, 2017. "Option price and market instability," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 512-535.
    3. Baaquie, Belal Ehsan, 2018. "Bonds with index-linked stochastic coupons in quantum finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 148-169.
    4. Baaquie, Belal E. & Du, Xin & Bhanap, Jitendra, 2014. "Option pricing: Stock price, stock velocity and the acceleration Lagrangian," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 416(C), pages 564-581.

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