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

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

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.

Emmanuel Haven

[1] Edward Nelson. Dynamical Theories of Brownian Motion , 1967 .

[2] Emmanuel Haven. A Black-Scholes Schrödinger option price: ‘bit’ versus ‘qubit’ , 2003 .

[3] S. Ross,et al. AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICES , 1985 .

[4] Emmanuel Haven,et al. A discussion on embedding the Black-Scholes option pricing model in a quantum physics setting , 2002 .