Related papers: Relativistic Black-Scholes model
We prove and test an efficient series representation for the European Black-Scholes call, which generalizes and refines previously known approximations, and works in every market configuration.
It is known that scalar-tensor gravity models can be studied in Einstein and Jordan frames. In this paper, we consider a model of scalar-tensor gravity in Einstein's frame to calculate the Lifshitz-like black hole solutions with different…
The Black-Scholes implied volatility skew at the money of SPX options is known to obey a power law with respect to the time-to-maturity. We construct a model of the underlying asset price process which is dynamically consistent to the power…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
Spatially varying near-horizon fluctuations of temperature of a Schwarzschild Black Hole is considered within the Euclidean Gravity approach. We present evidence that suggests that such fluctuations in temperature are closely related with…
We develop a relativistic perturbation theory for scalar clouds around rotating black holes. We first introduce a relativistic product and corresponding orthogonality relation between modes, extending a recent result for gravitational…
Recently, Rajagapol et al presented an asymptotically AdS black hole metric whose thermodynamics qualitatively mimics the behavior of the Van der Waals fluid by treating the cosmological constant as a thermodynamic pressure. In some studies…
We consider a general Kaluza-Klein reduction of a truncated Lovelock theory. We find necessary geometric conditions for the reduction to be consistent. The resulting lower-dimensional theory is a higher derivative scalar-tensor theory,…
In the early 1970s it is was realized that there is a striking formal analogy between the Laws of black-hole mechanics and the Laws of classical thermodynamics. Before the discovery of Hawking radiation, however, it was generally thought…
We study Vanna-Volga methods which are used to price first generation exotic options in the Foreign Exchange market. They are based on a rescaling of the correction to the Black-Scholes price through the so-called `probability of survival'…
We construct analogues for the quantum phenomena of black hole radiation in the context of {\it classical field theory}. Hawking radiation from a (radially) collapsing star is mathematically equivalent to radiation from a mirror moving…
Lovelock theory provides a tractable model of higher-curvature gravity in which several questions can be studied analytically. This is the reason why, in the last years, this theory has become the favorite arena to study the effects of…
We study option pricing and hedging with uncertainty about a Black-Scholes reference model which is dynamically recalibrated to the market price of a liquidly traded vanilla option. For dynamic trading in the underlying asset and this…
There is a well developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns of the underlying…
We propose analytical approximations for the sensitivities (Greeks) of the Asian options in the Black-Scholes model, following from a small maturity/volatility approximation for the option prices which has the exact short maturity limit,…
Exponential functionals of Brownian motion have been extensively studied in financial and insurance mathematics due to their broad applications, for example, in the pricing of Asian options. The Black-Scholes model is appealing because of…
The issue of developing simple Black-Scholes type approximations for pricing European options with large discrete dividends was popular since early 2000's with a few different approaches reported during the last 10 years. Moreover, it has…
We introduce a local volatility model for the valuation of options on commodity futures by using European vanilla option prices. The corresponding calibration problem is addressed within an online framework, allowing the use of multiple…
The recent detection of gravitational waves emanating from inspiralling black hole binaries has triggered a renewed interest in the dynamics of relativistic two-body systems. The conservative part of the latter are given by Hamiltonian…
Prices of European call options in a regime-switching local volatility model can be computed by solving a parabolic system which generalises the classical Black and Scholes equation, giving these prices as functionals of the local…