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The wave-equivalent of the Black–Scholes option price: an interpretation
- Source :
-
Physica A . Dec2004, Vol. 344 Issue 1/2, p142-145. 4p. - Publication Year :
- 2004
-
Abstract
- Abstract: We propose an interpretation of the wave-equivalent of the Black–Scholes option price. We consider Nelson''s 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. [Copyright &y& Elsevier]
- Subjects :
- *PUBLISHING
*UNIVERSITIES & colleges
*RISK premiums
*PRESS
Subjects
Details
- Language :
- English
- ISSN :
- 03784371
- Volume :
- 344
- Issue :
- 1/2
- Database :
- Academic Search Index
- Journal :
- Physica A
- Publication Type :
- Academic Journal
- Accession number :
- 19291372
- Full Text :
- https://doi.org/10.1016/j.physa.2004.06.105