Related papers: Relativistic Black-Scholes model
The generalized 5D Black-Scholes differential equation with stochastic volatility is derived. The projections of the stochastic evolutions associated with the random variables from an enlarged space or superspace onto an ordinary space can…
The model is built in which the main global properties of classical and quasi-classical black holes become local. These are the event horizon, "no-hair", temperature and entropy. Our construction is based on the features of a quantum…
In this paper, we find new scalarized black holes by coupling a scalar field with the Gauss-Bonnet invariant in Teleparallel gravity. The Teleparallel formulation of this theory uses torsion instead of curvature to describe the…
We establish an explicit approximation formula for European put option prices within a general stochastic volatility model with time-dependent parameters. Our methodology is based on expansions of the mixing representation of the put option…
We study thermodynamics of black holes in the deformed Ho\v{r}ava-Lifshitz gravity with coupling constant $\lambda$. For $\lambda=1$, the black hole behaves the Reissner-Norstr\"om black hole. Hence, this is different from the Schwarzschild…
The Campanelli-Lousto solutions of Brans-Dicke theory, usually reported as black holes are reconsidered and shown to describe, according to the values of a parameter, wormholes or naked singularities. The veiled Schwarzschild metric…
We use the expectation of the range of an arithmetic Brownian motion and the method of moments on the daily high, low, opening and closing prices to estimate the volatility of the stock price. The daily price jump at the opening is…
The classical linear Black--Scholes model for pricing derivative securities is a popular model in financial industry. It relies on several restrictive assumptions such as completeness, and frictionless of the market as well as the…
In this paper we consider a new mathematical extension of the Black-Scholes model in which the stochastic time and stock share price evolution is described by two independent random processes. The parent process is Brownian, and the…
This paper implements an efficient numerical algorithm for the time-fractional Black-Scholes model governing European options. The proposed method comprises the Crank-Nicolson approach to discretize the time variable and exponential…
What kind of implied volatility extrapolation is appropriate? Roger Lee proved that the Black-Scholes implied variance can not grow faster than linearly in log-moneyness. This paper investigates what happens in the Bachelier (or Normal)…
In the paper written by Klibanov et al, it proposes a novel method to calculate implied volatility of a European stock options as a solution to ill-posed inverse problem for the Black-Scholes equation. In addition, it proposes a trading…
In analyzing the nature of thermal radiance experienced by an accelerated observer (Unruh effect), an eternal black hole (Hawking effect) and in certain types of cosmological expansion, one of us proposed a unifying viewpoint that these can…
Using the option delta systematically, we derive tighter lower and upper bounds of the Black-Scholes implied volatility than those in Tehranchi [SIAM J. Financ. Math. 7 (2016), 893-916]. As an application, we propose a Newton-Raphson…
This investigation establishes a formal equivalence between the generalized Black-Scholes equation under a Quadratic Normal Volatility (QNV) specification and the stationary Schr\"odinger equation for a hyperbolic P\"oschl-Teller potential.…
Presented is intuitive proof of Black-Scholes formula for European call options, which is based on arbitrage and properties of lognormal distribution. Paper can help students and non-mathematicians to better understand economic concepts…
The space of call price functions has a natural noncommutative semigroup structure with an involution. A basic example is the Black--Scholes call price surface, from which an interesting inequality for Black--Scholes implied volatility is…
The variational problem of gravity theories is directly related to black hole thermodynamics. For asymptotically locally AdS backgrounds it is known that holographic renormalization results in a variational principle in terms of equivalence…
Recently, we have demonstrated that there exists a possible relationship between q-deformed algebras in two different contexts of Statistical Mechanics, namely, the Tsallis' framework and the Kaniadakis' scenario, with a local form of…
In financial mathematics, it is a typical approach to approximate financial markets operating in discrete time by continuous-time models such as the Black Scholes model. Fitting this model gives rise to difficulties due to the discrete…