Abstract

Recent work showed that securities prices behave as quantum chaotic quantities that described by quantum equations. We study pricing of European style options under that framework. The resulting volatility surface exhibits the smile and other characteristics of equity options. Additionally, we propose a modification to pricing process that allows to compute bid and ask prices marked to the general price level.

Full Text
Paper version not known

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call