Option Pricing Under Quantum Theory of Securities Price Formation

9 Pages Posted: 10 Oct 2016

Date Written: October 4, 2016

Abstract

Recent work showed that securities prices behave as quantum chaotic quantities that described by quantum equations. We study pricing of European style options under that framework. The resulting volatility surface exhibits the smile and other characteristics of equity options. Additionally, we propose a modification to pricing process that allows to compute bid and ask prices marked to the general price level.

Keywords: Options, volatility, volatility smile, derivatived, quantitative finance, quantum theory, risk management

JEL Classification: C00, C01, C02, C22, C51, C58, G01

Suggested Citation

Sarkissian, Jack, Option Pricing Under Quantum Theory of Securities Price Formation (October 4, 2016). Available at SSRN: https://ssrn.com/abstract=2848014 or http://dx.doi.org/10.2139/ssrn.2848014

Jack Sarkissian (Contact Author)

Algostox Trading ( email )

United States

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