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

Abstract

In this work we propose a option pricing model based on the Ornstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which is based on the quantum game theory. We show the differences between a classical look which is price changing by a Wiener process and the pricing is supported by a quantum model

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    Last time updated on 11/12/2019