Related papers: Relativistic Quantum Finance
A general variational principle of classical fields with a Lagrangian containing the field quantity and its derivatives of up to the N-th order is presented. Noether's theorem is derived. The generalized Hamilton-Jacobi's equation for the…
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 paper proposes a different method of solving a simplified version of the Black-Scholes equation. This paper will discuss the importance of the Black-Scholes equation and its applications in finance.
We analyse the stability of the inner horizon of the quantum-corrected black hole which is proposed in loop quantum gravity as the exterior of the quantum Oppenheimer-Snyder and Swiss Cheese models. It is shown that the flux and energy…
The Cauchy problem for semi-linear Klein-Gordon equations is considered in Friedmann-Lema\^itre-Robertson-Walker spacetimes. The local and global well-posedness of the Cauchy problem is considered in Sobolev spaces. The non-existence of…
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…
A relativistic quantum field theory is presented for finite density problems based on the principle of locality. It is found that, in addition to the conventional ones, a local approach to the relativistic quantum field theories at both…
The basic concepts of factorizable problems in one-dimensional Quantum Mechanics, as well as the theory of Shape Invariant potentials are reviewed. The relation of this last theory with a generalization of the classical Factorization Method…
We analyze the Standard & Poor's 500 stock market index from the last 22 years. The probability density function of price returns exhibits two well-distinguished regimes with self-similar structure: the first one displays strong…
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 develop a general framework for applying the Kelly criterion to stock markets. By supplying an arbitrary probability distribution modeling the future price movement of a set of stocks, the Kelly fraction for investing each stock can be…
We investigate the tachyonic instability of Kerr-Newman (KN) black hole with a rotation parameter $a$ in the Einstein-Chern-Simons-scalar theory coupled with a quadratic massive scalar field. This instability analysis corresponds to…
In the context of f(R) modified gravity theories, we study the Kerr-Newman black-hole solutions. We study non-zero constant scalar curvature solutions and discuss the metric tensor that satisfies the modified field equations. We determine…
A new theory for pricing options of a stock is presented. It is based on the assumption that while successive variations in return are uncorrelated, the frequency with which a stock is traded depends on the value of the return. The solution…
The spacetime singularities in classical general relativity are inevitable, which are also predicated by the celebrated singularity theorems. However, it is general belief that singularities do not exist in the nature and they are the…
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…
We quantize the solution to the Belinski-Khalatnikov-Lifshitz (BKL) scenario using the integral quantization method. Quantization smears the gravitational singularity avoiding its localization in the configuration space. The latter is…
A bubble is characterized by the presence of an underlying asset whose discounted price process is a strict local martingale under the pricing measure. In such markets, many standard results from option pricing theory do not hold, and in…
We present novel solutions to the Klein-Gordon equation in a black string spacetime immersed in an anisotropic quintessence fluid and surrounded by a cloud of strings (BCK spacetime). The solutions are shown to depend on the quintessence…
In spite of the macroscopic character of the primordial fluctuations, the standard inflationary distribution (that obtained using linear mode equations) exhibits inherently quantum properties, that is, properties which cannot be mimicked by…