Saturday, August 9, 2014

The probability of the particle tunneling out of the box – also called transmission coefficient- is becoming, in the case of stock market, the probability of stock price to penetrate out of the support and resistance region.

http://arxiv.org/ftp/arxiv/papers/1304/1304.6846.pdf


First step in attempting to find the probability of the penetration out of support/resistance levels is to consider a separation of variables in Black-Scholes valuation formula. The separation of variables is possible due to the stationary price moving in the region bounded by support and resistance levels.

having a strike price of 2,50 USD , the market price at 2,40 USD give a of , say 130%. To take the example to the extreme, a strike price of 7,40 USD for the same market price, have of 285%. It is easy to see that option value in the last case will decay more rapidly than in the first case.


The probability of the particle tunneling out of the box – also called transmission coefficient- is becoming, in the case of stock market, the probability of stock price to penetrate out of the support and resistance region.


Choosing an option contract having the strike price as nearest as possible to resistance or support, it can be noticed that transmission coefficient is depending only on interest rate, volatility and strike price of the underlying stock.




Ovidiu Racorean - ResearchGate

www.researchgate.net/profile/Ovidiu_Racorean2
Researcher » Ovidiu Racorean, Slovak Academy of Sciences, FINANCE, Romania, Financial Economics, Mathematical Economics, Geoinformatics (GIS), ...
  • [PDF]

    Are Financial Markets an aspect of Quantum World ... - arXiv

    arxiv.org/pdf/1305.1559
    arXiv
    Loading...
    by O Racorean - ‎2013 - ‎Related articles
    Ovidiu Racorean e-mail: decontatorul@hotmail.com. Abstract. Writing the article “Time independent pricing of options in range bound markets”*, the question.

  • Ovidiu Racorean at IDEAS

    ideas.repec.org/e/pra73.html
    Ovidiu Racorean: current contact information and listing of economic research of this author provided by RePEc/IDEAS.

  • Ovidiu Racorean (ovidiu69) on Twitter

    https://twitter.com/ovidiu69
    The latest from Ovidiu Racorean (@ovidiu69). The quantum mechanics of financial markets !!!

  • Taking The Stock Market To Higher Dimensions ...

    www.ibtimes.com › Technology › Science
    International Business Times
    Loading...
    by Roxanne Palmer - Feb 17, 2014 - The latter vision is that of Ovidiu Racorean, a Romania-based researcher for a hedge fund. He has an idea for how to encode the behavior of ...

  • Ovidiu Racorean - România | LinkedIn

    ro.linkedin.com/pub/ovidiu-racorean/16/aab/484
    Translate this page
    Bucharest, Romania - ‎Quantum mechanics of financial markets
    Vizualizați profilul profesional al lui Ovidiu Racorean (România) pe LinkedIn. LinkedIn este cea mai mare rețea de afaceri din lume, care îi ajută pe ...

  • Ovidiu Racorean | Quantum mechanics of financial markets ...

    www.linkedin.com/.../ovidiu-racorean+0_1OgVjm3KPaSZQWf...
    LinkedIn
    Loading...
    Check out professional insights posted by Ovidiu Racorean, Quantum mechanics of financial markets.

  • Quantum Tunneling of Stock Price in Range Bound Market ...

    www.academia.edu/.../Quantum_Tunneling_of_Stock_Pri...
    Academia.edu
    Loading...
    Quantum Tunneling of Stock Price in Range Bound Market Conditions Ovidiu Racorean e-mail: decontatorul@hotmail.com Abstract Applications of Quantum ...
    •
    Posted by at

    No comments:

    Post a Comment

    Subscribe to: Post Comments (Atom)