  We apply Gauge Theory of Arbitrage (GTA) {hep-th/9710148} to derivative
pricing. We show how the standard results of Black-Scholes analysis appear from
GTA and derive correction to the Black-Scholes equation due to a virtual
arbitrage and speculators reaction on it. The model accounts for both violation
of the no-arbitrage constraint and non-Brownian price walks which resemble real
financial data. The correction is nonlocal and transform the differential
Black-Scholes equation to an integro-differential one.
