105 citations · 603 across the 37 of their papers we have counts for
Showing 2002 · physics.soc-phShow all
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physics.soc-ph2002★ 1 cited
Pricing European Options in Realistic Markets
Martin Schaden
We investigate the relation between the fair price for European-style vanilla options and the distribution of short-term returns on the underlying asset ignoring transaction and ot…
physics.soc-ph2002
A Quantum Approach to Stock Price Fluctuations
Martin Schaden
A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the…
physics.soc-ph2002★ 105 cited
Quantum Finance
Martin Schaden
Quantum theory is used to model secondary financial markets. Contrary to stochastic descriptions, the formalism emphasizes the importance of trading in determining the value of a s…