Title:

Techniki informacyjne teoria i zastosowania * Wybrane problemy * European option pricing by non-linear schrődinger equation

Subtitle:

Książka = Book ; KS/3/2015/T5P08

Creator:

Wróblewski, M.

Publisher:

Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences

Place of publishing:

Warszawa

Date issued/created:

2015

Description:

[3], 149-166 pages ; 21 cm ; Bibliography p. 165-166

Type of object:

Book/Chapter

Abstract:

Heisenberg uncertainty principle is defined for the economic world. We want to find out why there are difficulties in forecasting stock and option prices at the basis of historical data. We will consider stochastic noise that is determined by human based psychological inclinations. As a improvement of our last, linear based Schr¨odinger model, we would like to propose new model based on nonlinear Schr¨odinger equation. Model was calibrated using market data. Calibration was performed using Levenberg-Marquardt algorithm.

Relation:

Książka = Book

Resource type:

Text

Detailed Resource Type:

Book

Source:

KS-2015-03-T5P08

Language:

eng

Language of abstract:

eng

Rights:

Creative Commons Attribution BY 4.0 license

Terms of use:

Copyright-protected material. [CC BY 4.0] May be used within the scope specified in Creative Commons Attribution BY 4.0 license, full text available at: ; -

Digitizing institution:

Systems Research Institute of the Polish Academy of Sciences

Original in:

Library of Systems Research Institute PAS

Projects co-financed by:

Operational Program Digital Poland, 2014-2020, Measure 2.3: Digital accessibility and usefulness of public sector information; funds from the European Regional Development Fund and national co-financing from the state budget.

Access:

Open