This paper develops a new theory of derivative securities pricing and implementes it for the specific case of European call options on a hypothetical non-dividend-paying stock. The basic premise is that the drift of the underlying asset plays a very important role in the pricing process, in the context of transport phenomena. A systematic confrontation to well-known Black-Scholes and bivariate trending Ornstein-Uhlenbeck models is also carried out, providing plausibility and effectiveness for this approach.
