Quantum physics methods in share option valuation

• Authors: Marcin Wróblewski
• Languages of publication: PL

Abstracts

PL

This paper deals with European share option pricing using quantum physics methods. These contingent claims are usually priced using the Black-Scholes equation. This nonlinear parabolic equation is based on geometric Brownian motion model of the stock price stochastic process. Similar processes also appear among quantum particles and are described by the time-dependent Schrödinger equation. In this paper, the option pricing based on the Schrödinger equation approach is proposed. Using Wick transformation, the Black-Scholes equation is transformed into the equivalent Schrödinger equation. The Fourier separation method is used to find analytical solutions to this equation. The last square method is used to calibrate the Schrödinger model based on real market data. Numerical results are provided and discussed.

Keywords

PL

option pricing, econophysics, quantum physics methods

• Publisher: [unknown2]
• Journal: Czasopismo Techniczne
• Year: -

Dates

online

2015-04-22

Contributors

author

Marcin Wróblewski