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Relativistic Option Pricing [PDF]
International Journal of Financial Studies, 2021 The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain
Vitor H. Carvalho, Raquel M. Gaspar
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Economics and Business Review, 2020 In this paper an extension of the well-known binomial approach to option pricing is presented. The classical question is: What is the price of an option on the risky asset?
Bieta Volker, Broll Udo, Siebe Wilfried
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Pricing Cryptocurrency Options [PDF]
, 2020 Cryptocurrencies, especially Bitcoin (BTC), which comprise a new digital asset class, have drawn extraordinary worldwide attention. The characteristics of the cryptocurrency/BTC include a high level of speculation, extreme volatility and price discontinuity.
Hou, Ai Jun +3 more
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Frontiers of Mathematical Finance, 2023 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Carr, Peter, Cherubini, Umberto
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Approximate Option Pricing [PDF]
Algorithmica, 1999 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chalasani, P., Jha, S., Saias, I.
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Option Pricing using Quantum Computers [PDF]
Quantum, 2020 We present a methodology to price options and portfolios of options on a gate-based quantum computer using amplitude estimation, an algorithm which provides a quadratic speedup compared to classical Monte Carlo methods.
Nikitas Stamatopoulos +6 more
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Martingale option pricing [PDF]
Physica A: Statistical Mechanics and its Applications, 2007 We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price. Previously, this was proven for the case of the Gaussian logarithmic returns model by Harrison and Kreps, but we prove it for much a much larger class of
J. L. McCauley +2 more
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Fractal and Fractional, 2022 The Black–Scholes option pricing model is one of the most significant achievements in modern investment science. However, many factors are constantly fluctuating in the actual financial market option pricing, such as risk-free interest rate, stock price,
Jianke Zhang, Yueyue Wang, Sumei Zhang
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Equilibrium pricing bounds on option prices [PDF]
Mathematics and Financial Economics, 2005 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jouini, Elyès, Chazal, Marie
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Markov model of option pricing
Lietuvos Matematikos Rinkinys, 2021 In the article is proposed the algorithm of modeling the dynamics of asset prices by Markov process with continuous time and countable set of states and numerical option pricing.
Eimutis Valakevičius
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