Title of article
The wave-equivalent of the Black–Scholes option price: an interpretation
Author/Authors
Emmanuel Haven، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2004
Pages
4
From page
142
To page
145
Abstract
We propose an interpretation of the wave-equivalent of the Black–Scholes option price. We consider Nelsonʹs 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
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2004
Journal title
Physica A Statistical Mechanics and its Applications
Record number
869710
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