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q-fin.CP2014★ 1 cited
Exact solution of a generalized version of the Black-Scholes equation
Liviu-Adrian Cotfas, Camelia Delcea, Nicolae Cotfas
We analyze a generalized version of the Black-Scholes equation depending on a parameter . It satisfies the martingale condition and coincides with the Black-S…
q-fin.CP2013
Quantum harmonic oscillator in option pricing
Liviu-Adrian Cotfas, Nicolae Cotfas
The Black-Scholes model anticipates rather well the observed prices for options in the case of a strike price that is not too far from the current price of the underlying asset. So…