Related papers: Relativistic Black-Scholes model
A deformation of the wave equation on a two-dimensional black hole is considered as a toy-model for possible gravitational or stringy nonlocal effects. The deformed wave-equation allows for an initial-value problem despite being nonlocal.…
This research addresses accurate option pricing by employing models beyond the traditional Black-Scholes framework. While Black-Scholes provides a closed-form solution, it is limited by assumptions of constant volatility, no dividends, and…
We consider black hole spacetimes that are holographically dual to strongly coupled field theories in which spatial translations are broken explicitly. We discuss how the quasinormal modes associated with diffusion of heat and charge can be…
The semiclassical approximation is studied on hypersurfaces approaching the union of future null infinity and the event horizon on a large class of four dimensional black hole backgrounds. Quantum fluctuations in the background geometry are…
We study the problem of reconstruction of special special time dependent local volatility from market prices of options with different strikes at two expiration times. For a general diffusion process we apply the linearization technique and…
One of the most interesting problems discerned when applying the Black--Scholes model to financial derivatives, is reconciling the deviation between expected and observed values. In our recent work, we derived a new model based on the…
The main purpose of this article is to give a general overview and understanding of the first widely used option-pricing model, the Black-Scholes model. The history and context are presented, with the usefulness and implications in the…
We analyze and calculate the early exercise boundary for a class of stationary generalized Black-Scholes equations in which the volatility function depends on the second derivative of the option price itself. A motivation for studying the…
We study a particular Einstein-Maxwell-Dilaton black hole configuration with cosmological constant, expressed in terms of the curvature radius, from the point of view of quasi-homogeneous thermodynamics. In particular, we show that the…
Differential equations can be used to construct predictive models of a diverse set of real-world phenomena like heat transfer, predator-prey interactions, and missile tracking. In our work, we explore one particular application of…
A diffusion equation approach to black hole thermodynamics in Euclidean sector is proposed. A diffusion equation for a generic in Euclidean sector is derived from the Bloch equation. Black hole thermodynamics is also derived and it is…
Real life hedging in the Black-Scholes model must be imperfect and if the stock's drift is higher than the risk free rate, leads to a profit on average. Hence the option price is examined as a fair game agreement between the parties, based…
We fit the volatility fluctuations of the S&P 500 index well by a Chi distribution, and the distribution of log-returns by a corresponding superposition of Gaussian distributions. The Fourier transform of this is, remarkably, of the Tsallis…
In this paper, taking in to account Brans-Dick theory, we investigate thermodynamic behavior of charged black hole solutions. We study the analogy of the black hole solution with the Van der Waals liquid-gas system in the extended phase…
We consider a model of linear market impact, and address the problem of replicating a contingent claim in this framework. We derive a non-linear Black-Scholes Equation that provides an exact replication strategy. This equation is fully…
In this paper we analyze a nonlinear Black--Scholes model for option pricing under variable transaction costs. The diffusion coefficient of the nonlinear parabolic equation for the price $V$ is assumed to be a function of the underlying…
The Black-Scholes theory of option pricing has been considered for many years as an important but very approximate zeroth-order description of actual market behavior. We generalize the functional form of the diffusion of these systems and…
One of the most discussed problems in the financial world is stock option pricing. The Black-Scholes Equation is a Parabolic Partial Differential Equation which provides an option pricing model. The present work proposes an approach based…
This paper presents a novel way to predict options price for one day in advance, utilizing the method of Quasi-Reversibility for solving the Black-Scholes equation. The Black-Scholes equation solved forwards in time with Tikhonov…
We investigate qualitative and quantitative behavior of a solution of the mathematical model for pricing American style of perpetual put options. We assume the option price is a solution to the stationary generalized Black-Scholes equation…