Relativistic Black–Scholes Equation

Abstract

The Relativistic Black Scholes Model presented in this paper is a generalization that is not very well known since the original version of 1973, because its effects are still not very significant. Actually, any small advantage in information knowledge in the High-Frequency Trading can become great arbitrage opportunities. In order to determine the value of a financial option, it is necessary to construct a density function associated with the determination of prices of financial assets using the concepts of quantum mechanics and relativity gathered in the Dirac equation. For the effect to be appreciated, the distance between traders would have to be on a large scale, but an equivalent concept can be found, which is the speed of light of the market, which rather involves delays in the technology used and human reaction times. At the end, an approximation is made of this implicit velocity parameter.