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Contrary to the common view that exact pricing is prohibitive owing to the curse of dimensionality, this study proposes an efficient and unified method for pricing options under multivariate Black-Scholes-Merton (BSM) models, such as the…
In this paper, we briefly discuss a mathematical concept that can be used in economics.
Our goal is to analyze the system of Hamilton-Jacobi-Bellman equations arising in derivative securities pricing models. The European style of an option price is constructed as a difference of the certainty equivalents to the value functions…
Writing the article-Time independent pricing of options in range bound markets; the question in the title came naturally to my mind. It is stated, in the above article, that in certain market conditions the stock price is subjected to an…
We present a variation of the well-known binomial model of asset prices. This variation incorporates a bound to short-selling, inspired by a model from Gunduz Caginalp[2]. We formalize this model and prove a formula for all the moments of…
Using techniques from information geometry, we construct a semi-Hamiltonian system modelling trader beliefs in a binary asset market and study the impact of inequality or asymmetry in beliefs, information, and power on price dynamics. We…
We reason about possible future development of quantum game theory and its impact on information processing and the emerging information society. Two of the authors have recently proposed a quantum description of financial market in terms…
In their activity, the traders approximate the rate of return by integer multiples of a minimal one. Therefore, it can be regarded as a quantized variable. On the other hand, there is the impossibility of observing the rate of return and…
Quantum fields are shown to provide an example of infinite-dimensional quantum groups. A dictionary is established between quantum field and quantum group concepts: the expectation value over the vacuum is the counit, Wick's theorem is the…
The construction of public key quantum money based on standard cryptographic assumptions is a longstanding open question. Here we introduce franchised quantum money, an alternative form of quantum money that is easier to construct.…
Pricing of high-dimensional options is a deep problem of the Theoretical Financial Mathematics. In this article we present a new class of L\'{e}vy driven models of stock markets. In our opinion, any market model should be based on a…
In the past decades, advanced probabilistic methods have had significant impact on the field of finance, both in academia and in the financial industry. Conversely, financial questions have stimulated new research directions in probability.…
With model uncertainty characterized by a convex, possibly non-dominated set of probability measures, the agent minimizes the cost of hedging a path dependent contingent claim with given expected success ratio, in a discrete-time,…
We propose a quantum-like description of markets and economics. The approach has roots in the recently developed quantum game theory.
In common finance literature, Black-Scholes partial differential equation of option pricing is usually derived with no-arbitrage principle. Considering an asset market, Merton applied the Hamilton-Jacobi-Bellman techniques of his…
Quantum theory's irreducible empirical core is a probability calculus. While it presupposes the events to which (and on the basis of which) it serves to assign probabilities, and therefore cannot account for their occurrence, it has to be…
The free scalar field is studied on the Y-junction of three semi infinite axes which is the simplest example of a non-manifold space. It is shown that under an assumption that the junction point can not gain a macroscopic amount of energy…
Quantum money is a cryptographic protocol in which a mint can produce a quantum state, no one else can copy the state, and anyone (with a quantum computer) can verify that the state came from the mint. We present a concrete quantum money…
In general it is not clear which kind of information is supposed to be used for calculating the fair value of a contingent claim. Even if the information is specified, it is not guaranteed that the fair value is uniquely determined by the…
We discuss the role of information entropy on the behaviour of random processes, and how this might take effect in the dynamics of financial market prices. We then go on to show how the Open Quantum Systems approach can be used as a more…