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.
Year of publication: |
2004
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Authors: | Haven, Emmanuel |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 344.2004, 1, p. 142-145
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Publisher: |
Elsevier |
Subject: | Nelson–Brownian motion | Wave-equivalent Black–Scholes option price |
Saved in:
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