Black-Scholes equation, after a certain coordinate transformation, is
equivalent to the heat equation. On the other hand the relativistic extension
of the latter, the telegraphers equation, can be derived from the Euclidean
version of the Dirac equation. Therefore the relativistic extension of the
Black-Scholes model follows from relativistic quantum mechanics quite
naturally. We investigate this particular model for the case of European
vanilla options. Due to the notion of locality incorporated in this way one
finds that the volatility frown-like effect appears when comparing to the
original Black-Scholes model.Comment: 18 pages, publishe
