Nonlinear Schrödinger approach to European option pricing
This paper deals with numerical option pricing methods based on a Schrödinger model rather than the Black-Scholes model. Nonlinear Schrödinger boundary value problems seem to be alternatives to linear models which better reflect the complexity and behavior of real markets. Therefore, based on the no...
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| Format: | Article |
| Language: | English |
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De Gruyter
2017-05-01
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| Series: | Open Physics |
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| Online Access: | https://doi.org/10.1515/phys-2017-0031 |