Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process

Edward W. Piotrowski; Malgorzata Schroeder; Anna Zambrzycka

doi:10.1016/j.physa.2005.12.021

paper

Quantum extension of European option pricing based on the Ornstein-Uhlenbeck process

arXiv:quant-ph/0510121 · doi:10.1016/j.physa.2005.12.021

Abstract

In this work we propose a option pricing model based on the Ornstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which is based on the quantum game theory. We show the differences between a classical look which is price changing by a Wiener process and the pricing is supported by a quantum model.