Related papers: Relativistic Black-Scholes model
Market illiquidity, feedback effects, presence of transaction costs, risk from unprotected portfolio and other nonlinear effects in PDE based option pricing models can be described by solutions to the generalized Black-Scholes parabolic…
Black hole formation and evaporation is studied in the semiclassical approximation in simple 1+1-dimensional models, with emphasis on issues related to Hawking's information paradox. Exact semiclassical solutions are described and questions…
The present work shows that through a suitable change of variables relativistic dynamics can be mapped to light propagation in a non-homogeneous medium. A particle's trajectory through the modified space-time is thus formally equivalent to…
Lovelock gravity is an important extension of General Relativity that provides a promising framework to study curvature corrections to the Einstein action, while avoiding ghosts and keeping second order field equations. This paper derives…
Refining a discrete model of Cheuk and Vorst we obtain a closed formula for the price of a European lookback option at any time between emission and maturity. We derive an asymptotic expansion of the price as the number of periods tends to…
The Black-Scholes formula for pricing options on stocks and other securities has been generalized by Merton and Garman to the case when stock volatility is stochastic. The derivation of the price of a security derivative with stochastic…
A relativistic gas in a Schwarzschild metric is studied within the framework of a relativistic Boltzmann equation in the presence of gravitational fields, where Marle's model for the collision operator of the Boltzmann equation is employed.…
Starting from an interpretation of the classical-quantum correspondence, we derive the Dirac equation by factorizing the algebraic relation satisfied by the classical Hamiltonian, before applying the correspondence. This derivation applies…
We investigate the thermodynamics and critical phenomena for four dimensional RN-AdS and Kerr-AdS black holes in the canonical ensemble both for the normal and the extended phase space employing the framework of thermodynamic geometry. The…
Improved semiclassical techniques are developed and applied to a treatment of a real scalar field in a $D$-dimensional gravitational background. This analysis, leading to a derivation of the thermodynamics of black holes, is based on the…
The true probability of a European call option to achieve positive return is investigated under the Black-Scholes model. It is found that the probability is determined by those market factors appearing in the BS formula, besides the growth…
The Black Hole Uncertainty Principle correspondence proposes a connection between the Uncertainty Principle on microscopic scales and black holes on macroscopic scales. This is manifested in a unified expression for the Compton wavelength…
We investigate the backreaction equations for an acoustic black hole formed in a Laval nozzle under the assumption that the motion of the fluid is one-dimensional. The solution in the near-horizon region shows that as phonons are…
A notion of stochastic deformation is introduced and the corresponding algebraic deformation procedure is developed. This procedure is analogous to the deformation of an algebra of observables like deformation quantization, but for an…
We study two large classes of alternative theories, modifying the action through algebraic, quadratic curvature invariants coupled to scalar fields. We find one class that admits solutions that solve the vacuum Einstein equations and…
This review is devoted to the study of stationary solutions of linear and nonlinear equations from relativistic quantum mechanics, involving the Dirac operator. The solutions are found as critical points of an energy functional. Contrary to…
We provide an European option pricing formula written in the form of an infinite series of Black Scholes type terms under double Levy jumps model, where both the interest rate and underlying price are driven by Levy process. The series…
The Black-Scholes-Merton model is a mathematical model for the dynamics of a financial market that includes derivative investment instruments, and its formula provides a theoretical price estimate of European-style options. The model's…
Recently, a morphological transition in the velocity distribution of a relativistic gas has been pointed out which shows hallmarks of a critical phenomenon. Here, we provide a general framework which allows for a thermodynamic approach to…
Electro-vacuum black holes are scale-invariant; their energy-momentum tensor is traceless. Quantum corrections of various sorts, however, can often produce a trace anomaly and a breakdown of scale-invariance. The (quantum-corrected) black…