Related papers: Three little arbitrage theorems
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black--Scholes (BS) market converge to the corresponding quantities for similar game barrier options in the BS market…
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.
This paper presents four theorems that connect continuity postulates in mathematical economics to solvability axioms in mathematical psychology, and ranks them under alternative supplementary assumptions. Theorem 1 connects notions of…
We have found the entropy of N=2 extreme black holes associated with general Calabi-Yau moduli space. We show that for arbitrary d_{ABC} and black hole charges the entropy-area formula depends on combinations of these charges and parameters…
We study perpetual American option pricing problems in an extension of the Black-Merton-Scholes model in which the dividend and volatility rates of the underlying risky asset depend on the running values of its maximum and maximum drawdown.…
We generalize the Arbitrage Pricing Theory (APT) to include the contribution of virtual arbitrage opportunities. We model the arbitrage return by a stochastic process. The latter is incorporated in the APT framework to calculate the…
We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous…
We introduce a class of financial contracts involving several parties by extending the notion of a two-person game option (see Kifer (2000)) to a contract in which an arbitrary number of parties is involved and each of them is allowed to…
We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a…
We study the possible existence of charged and neutral black holes in the Bergmann-Wagoner class of scalar-tensor theories (STT) of gravity in four dimensions. The existence of black holes is shown for anomalous versions of these theories,…
We study utility indifference prices and optimal purchasing quantities for a contingent claim, in an incomplete semi-martingale market, in the presence of vanishing hedging errors and/or risk aversion. Assuming that the average indifference…
Recently neutral and charged black-hole solutions were found for static perfect fluid with the equation of state $p(r)=-\rho(r)/3$, for fluid only as well as for fluid in the presence of electric field. In those works, the stability of the…
We consider the entropy of near extremal black holes with multiple charges in the context of the recently proposed correspondence principle of Horowitz and Polchinski, including black holes with two, three and four Ramond-Ramond charges. We…
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 this paper, a quantum model for the binomial market in finance is proposed. We show that its risk-neutral world exhibits an intriguing structure as a disk in the unit ball of ${\bf R}^3,$ whose radius is a function of the risk-free…
In this work, we present a quantum algorithm designed to solve the differential equation used in the pricing of Asian options, in the framework of the Black-Scholes model. Our approach modifies an existing quantum pre-conditioning method…
We investigate the three-dimensional behavior of gravity coupled to a dynamical unit timelike vector: the aether, and present two new classes of exact charged solutions. When c_{13}=0,\Lambda'=0$, we find the solutions is the usual BTZ…
In 2002, Benjamin Jourdain and Claude Martini discovered that for a class of payoff functions, the pricing problem for American options can be reduced to pricing of European options for an appropriately associated payoff, all within a…
We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme, we obtain a general formula, valid for weakly correlated non-Gaussian processes. We show that for…
We proposed classification models that utilize the result from the Quasi-Reversibility Method, which solves the Black-Scholes equation to forecast the option prices one day in advance. Combining the minimizer from QRM with our machine…