Resonance phenomena in option pricing with arbitrage

DOI10.1016/j.physa.2019.123238zbMath1492.91370OpenAlexW2980838004WikidataQ126992614 ScholiaQ126992614MaRDI QIDQ2067175

Yanyan Li

Publication date: 17 January 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2019.123238

zbMATH Keywords

option pricingBlack-Scholes modelarbitragebarrier options

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (2)

Endogenous stochastic arbitrage bubbles and the Black-Scholes model ⋮ The Black-Scholes equation in finance: quantum mechanical approaches

Cites Work

• The Pricing of Options and Corporate Liabilities
• Financially constrained arbitrage in illiquid markets
• Stochastic volatility, smile & asymptotics
• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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