Endogenous stochastic arbitrage bubbles and the Black-Scholes model

DOI10.1016/j.physa.2021.126323OpenAlexW3087655973MaRDI QIDQ2667651

Mauricio Contreras G.

Publication date: 1 March 2022

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

Full work available at URL: https://arxiv.org/abs/2009.09329

zbMATH Keywords

stochastic equationsoption pricingBlack-Scholes equationarbitrage bubbles

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Multi-asset Black-Scholes model as a variable second class constrained dynamical system
• Stochastic volatility models at \(\rho = \pm 1\) as second class constrained Hamiltonian systems
• Resonance phenomena in option pricing with arbitrage
• 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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