2024
DOI: 10.1177/29767032231211902
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Quantum Uncertainty and the Black-Scholes Formula

David Orrell

Abstract: The publication of the Black-Scholes formula in 1973 appeared for the first time to put the pricing of financial options onto a rational and objective basis. Its adoption transformed the perception of option pricing from a form of gambling to scientific risk management, and led to a huge increase in options trading. However while the formula revolutionised the world of finance, and remains the industry-standard pricing model today, its proof relies on a number of assumptions about price behaviour which are oft… Show more

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