The Use of the Information Wave Function in a Drift Dependent Option Price: A Simple Example
Journal Article
·
· AIP Conference Proceedings
- School of Management-University Road-University of Leicester-Leicester LE1 7RH-United Kingdom (United Kingdom)
This paper briefly describes how a drift-dependent option price is obtained, following the work of Tan. We briefly argue how the information wave function concept, which has now been used in various financial settings, can be used in this type of option price.
- OSTI ID:
- 21293358
- Journal Information:
- AIP Conference Proceedings, Vol. 1101, Issue 1; Conference: 5. international conference on foundations of probabillity and physics, Vaexjoe (Sweden), 24-27 Aug 2008; Other Information: DOI: 10.1063/1.3109974; (c) 2009 American Institute of Physics; Country of input: International Atomic Energy Agency (IAEA); ISSN 0094-243X
- Country of Publication:
- United States
- Language:
- English
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