We examine the dynamics of extended branes, carrying lower dimensional brane charges, wrapping black holes and black hole microstates in M and Type II string theory. We show that they have a universal dispersion relation typical of threshold bound states with a total energy equal to the sum of the contributions from the charges. In near-horizon geometries of black holes, these are BPS states, a...

We present spherically symmetric black hole solutions for Einstein gravity coupled to anisotropic matter. We show that these black holes have arbitrarily short hair, and argue for stability by showing that they can arise from dynamical collapse. We also show that a recent ‘no short hair’ theorem does not apply to these solutions. Pacs numbers: 04.20.Jb, 04.40.Nr, 04.70.Bw Typeset using REVTEX

– We show, by studying in detail the market prices of options on liquid markets, that the market has empirically corrected the simple, but inadequate Black-Scholes formula to account for two important statistical features of asset fluctuations: “fat tails” and correlations in the scale of fluctuations. These aspects, although not included in the pricing models, are very precisely reflected in t...

This paper will derive the Black-Scholes pricing model of a European option by calculating the expected value of the option. We will assume that the stock price is log-normally distributed and that the universe is riskneutral. Then, using Ito’s Lemma, we will justify the use of the risk-neutral rate in these initial calculations. Finally, we will prove put-call parity in order to price European...

We start by pointing out that certain Riemann surfaces appear rather naturally in the context of wave equations in the black hole background. For a given black hole there are two closely related surfaces. One is the Riemann surface of complexified “tortoise” coordinate. The other Riemann surface appears when the radial wave equation is interpreted as the Fuchsian differential equation. We study...

In this paper we try to answer the main question: what is a quantum black hole?

Classical explicit finite difference schemes are unsuitable for the solution of the famous Black-Scholes partial differential equation, since they impose severe restrictions on the time step. Furthermore, they may produce spurious oscillations in the solution. We propose a new scheme that is free of spurious oscillations and guarantees the positivity of the solution for arbitrary stepsizes. The...

The Black Scholes model of option pricing constitutes the cornerstone of contemporary valuation theory. However, the model presupposes the existence of several unrealistic assumptions including the lognormal distribution of stock market price processes. There, now, subsists abundant empirical evidence that this is not the case. Consequently, several generalisations of the basic model have been ...

In this article, we propose a numerical algorithm for computing price of discrete single and double barrier option under the emph{Black-Scholes} model. In virtue of some general transformations, the partial differential equations of option pricing in different monitoring dates are converted into simple diffusion equations. The present method is fast compared to alterna...

In this paper, a new identification of the Lagrange multipliers by means of the Sumudu transform, is employed to  btain a quick and accurate solution to the fractional Black-Scholes equation with the initial condition for a European option pricing problem. Undoubtedly this model is the most well known model for pricing financial derivatives. The fractional derivatives is described in Caputo sen...