Related papers: Relativistic Black-Scholes model
We investigate the thermodynamic and observational implications for the charged torus-like black holes, a class of solutions distinct from the classical Schwarzschild black holes. We explicitly derive the fundamental thermodynamic…
We consider option hedging in a model where the underlying follows an exponential L\'evy process. We derive approximations to the variance-optimal and to some suboptimal strategies as well as to their mean squared hedging errors. The…
The action for a class of three-dimensional dilaton-gravity theories with a cosmological constant can be recast in a Brans-Dicke type action, with its free $\omega$ parameter. These theories have static spherically symmetric black holes.…
The formula describing the explicit red-shift dependence for the distance covered by a signal in the expanding space, and also the expressions for Hubble law have been derived directly from the conformal group transformations taking into…
We develop series expansions in powers of $q^{-1}$ and $q^{-1/2}$ of solutions of the equation $\psi(z) = q$, where $\psi(z)$ is the Laplace exponent of a hyperexponential L\'{e}vy process. As a direct consequence we derive analytic…
We prove that if the Black-Scholes formula holds with the spot volatility for call options with all strikes, then the volatility parameter is constant. The proof relies some result on semimartingales (Theorem 2) of independent interest.
The Chapman-Enskog method of solution of the relativistic Boltzmann equation is generalized in order to admit a time-derivative term associated to a thermodynamic force in its first order solution. Both existence and uniqueness of such a…
In the complete system of equations of evolution of the classical system of charges and the electromagnetic field generated by them, the field variables are excluded. An exact closed relativistic non-Hamiltonian system of nonlocal kinetic…
We show that the Hawking temperature and the entropy of black holes are subject to corrections from two sources: the generalized uncertainty principle and thermal fluctuations. Both effects increase the temperature and decrease the entropy,…
Focusing on the special case of generalized Rastall theory, as a subclass of the non-minimal curvature-matter coupling theories in which the field equations are mathematically similar to the Einstein field equations in the presence of…
A model is proposed for the classical electron as a point charge with finite electromagnetic self-energy. Modifications of the Reissner-Nordstr{\o}m (spin 0) and Kerr-Newman (spin 1/2) solutions of the Einstein-Maxwell equations are…
This work devises a formalism to obtain the equations of motion for a black hole-fluid configuration. Our approach is based on a Post-Newtonian expansion and adapted to scenarios where obtaining the relevant dynamics requires long…
In a scalar-vector-gravity theory with the vector sector described by nonlinear electrodynamics, the field equations are integrated using the well-known gravitational decoupling method. The resulting spacetime corresponds to a spherically…
Options are financial instruments that depend on the underlying stock. We explain their non-Gaussian fluctuations using the nonextensive thermodynamics parameter $q$. A generalized form of the Black-Scholes (B-S) partial differential…
A presentation of the Vaidya type Schwarzschild-like black holes with flat, AdS and dS asymptotics in 4-dimensional general relativity in the form of a pointlike mass is given. True singularities are described by making the use of the Dirac…
The Lovelock theory is an extension of general relativity to higher dimensions. We study the Lovelock black hole for a string cloud model in arbitrary dimensional spacetime, and in turn also analyze its thermodynamical properties. Indeed,…
This work studies the valuation of currency options in markets suffering from a financial crisis. We consider a European option where the underlying asset is a foreign currency. We assume that the value of the underlying asset is a…
We show that, contrary to the statements made by many authors, the backflow is not a nonclassical effect. The backflow is a characteristic feature of solutions of the wave equations: quantum and classical. We present simple solutions of the…
We study the pricing and hedging of European spread options on correlated assets when, in contrast to the standard framework and consistent with imperfect liquidity markets, the trading in the stock market has a direct impact on stocks…
In this paper, we investigate the universal extremality relation and thermodynamic topology of Van der Waals (VdW) black holes-solutions of Einstein's equations whose thermodynamic behavior closely resembles that of Van der Waals fluids. In…