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Does anyone know of anyone doing research in nonlinear or chaotic option pricing. Clearly the stochastic model (Black-scholes) is standard, however, you can model most stochastic processes with deterministic systems (most simply, the tent map), and a deterministic system would cearly offer benefits to the black-scholes model. Anyways, im starting a research project on this through the departments of Economics and Math at the University of Toronto and im finding literature relatively scarce... So if anyone here could point me in the right direction, I would be in your debt. Thanks.-Bryan

Why not just start with Put-Call Parity relationship of a listed market and make sure the calls line up with the synthetic calls (ie long Stock, long Put) and then make sure your call spreads are in line with your synthethic call spreads (short put spread) and then make sure your butterflys are always greater than zero across the strikes, etc.