Related papers: Quantum Theory for the Binomial Model in Finance T…
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…
With the decline of the Copenhagen interpretation of quantum mechanics and the recent experiments indicating that quantum mechanics does actually embody 'objective reality', one might ask if a 'mechanical', conceptual model for quantum…
We prove the Fundamental Theorem of Asset Pricing for a discrete time financial market where trading is subject to proportional transaction cost and the asset price dynamic is modeled by a family of probability measures, possibly…
We endorse the idea, suggested in recent literature, that BitCoin prices are influenced by sentiment and confidence about the underlying technology; as a consequence, an excitement about the BitCoin system may propagate to BitCoin prices…
Physicists have used billiards to understand and explore both classical and quantum chaos. Recently, in 2001, a group at the University of Texas introduced an experimental set up for modeling the wedge billiard geometry called optical…
In a model with no given probability measure, we consider asset pricing in the presence of frictions and other imperfections and characterize the property of coherent pricing, a notion related to (but much weaker than) the no arbitrage…
The mathematical model of orthodox quantum mechanics has been critically examined and some deficiencies have been summarized. The model based on the extended Hilbert space and free of these shortages has been proposed; parameters being…
We propose a coin-flip protocol which yields a string of strong, random coins and is fully simulatable against poly-sized quantum adversaries on both sides. It can be implemented with quantum-computational security without any set-up…
Probabilistic graphical models such as Bayesian networks are widely used to model stochastic systems to perform various types of analysis such as probabilistic prediction, risk analysis, and system health monitoring, which can become…
Quantum money represents an innovative approach to currency by encoding economic value within the quantum states of physical systems, utilizing the principles of quantum mechanics to enhance security, integrity, and transferability. This…
In this paper we provide a quantitative analysis to the concept of arbitrage, that allows to deal with model uncertainty without imposing the no-arbitrage condition. In markets that admit ``small arbitrage", we can still make sense of the…
The quantum cosmology of the flat Friedmann-Lema{\^i}tre-Robertson-Walker Universe, filled with a scalar field, is considered in the de Broglie-Bohm (dBB) interpretation framework. A stiff-matter quantum bounce solution is obtained. The…
We consider the theory of bond discounts, defined as the difference between the terminal payoff of the contract and its current price. Working in the setting of finite-dimensional realizations in the HJM framework, under suitable notions of…
We consider a multi-asset incomplete model of the financial market, where each of $m\geq 2$ risky assets follows the binomial dynamics, and no assumptions are made on the joint distribution of the risky asset price processes. We provide…
A model is proposed for Bitcoin prices that takes into account market attention. Market attention, modeled by a mean-reverting Cox-Ingersoll-Ross processes, affects the volatility of Bitcoin returns, with some delay. The model is affine and…
The paper treats the financial market as a communication system, using four information-theoretic assumptions to derive an idealized model with only one parameter. State variables are scalar stationary diffusions. The model minimizes the…
This paper studies the pricing of European-style Asian options when the price dynamics of the underlying risky asset are assumed to follow a Markov- modulated geometric Brownian motion; that is, the appreciation rate and the volatility of…
We develop quantum algorithms for pricing Asian and barrier options under the Heston model, a popular stochastic volatility model, and estimate their costs, in terms of T-count, T-depth and number of logical qubits, on instances under…
We consider an incomplete multi-asset binomial market model. We prove that for a wide class of contingent claims the extremal multi-step martingale measure is a power of the corresponding single-step extremal martingale measure. This allows…
We construct a binary market model with memory that approximates a continuous-time market model driven by a Gaussian process equivalent to Brownian motion. We give a sufficient conditions for the binary market to be arbitrage-free. In a…