Quantum extension of European option pricing based on the Ornstein–Uhlenbeck process

In this paper we propose an option pricing model based on the Ornstein–Uhlenbeck process. It is a fresh look at the option pricing which is grounded on the quantum game theory and it is more subtle. We show the differences between a classical look which is price changing by a Wiener process and the pricing supported by a quantum model. These differences are visible for very liquid financial instruments.