This article studies the pricing of options in an extended Black Scholes economy in which the underlying asset is not perfectly liquid. The resulting liquidity risk is modeled as a stochastic supply curve, with the transaction price being a function of the trade size. Consistent with the market microstructure literature, the supply curve is upward sloping with purchases executed at higher price...

A string theory description of near extremal black rings is proposed. The entropy is computed and the thermodynamic properties are derived for a large family of black rings that have not yet been constructed in supergravity. It is also argued that the most general black ring in N = 8 supergravity has 21 parameters up to duality.

We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments are uncorrelated (but not necessarily independent) and of arbitrary probability density. We discuss in particular how, in the Gaussian limit, the Black-Schole...

We study how the charges of the black rings measured at the asymptotic infinity are encoded in the near-horizon metric and gauge potentials, independent of the detailed structure of the connecting region. Our analysis clarifies how different sets of four-dimensional charges can be assigned to a single five-dimensional object under the Kaluza-Klein reduction. Possible choices are related by the ...

In this paper we consider pricing problems of the geometric average Asian options under a non-Gaussian model, in which the underlying stock price is driven by a process based on non-extensive statistical mechanics. The model can describe the peak and fat tail characteristics of returns. Thus, the description of underlying asset price and the pricing of options are more accurate. Moreover, using...

Black holes are a continuing source of mystery. Although their classical properties have been understood since the 1970’s, their quantum properties raise some of the deepest questions in theoretical physics. Some of these questions have recently been answered using string theory. I will review these fundamental questions, and the aspects of string theory needed to answer them. I will then expla...

Scalar field collapse in three-dimensions. Abstract We study an analytical solution to the Einstein's equations in 2 + 1-dimensions, representing the collapse of a circularly symmetric, minimally coupled, massless, scalar field. Depending on the value of certain parameters , this solution exhibits all three, known, end states of a collapse situation: Minkowski space-time after a bouncing, naked...

We study a discrete time hedging and pricing problem in a market with liquidity costs. Using Leland’s discrete time replication scheme [Leland, H.E., 1985. Journal of Finance, 1283–1301], we consider a discrete time version of the Black–Scholes model and a delta hedging strategy. We derive a partial differential equation for the option price in the presence of liquidity costs and develop a modi...

The purpose of this paper is to present a survey of recent developments concerning the distributions of occupation times of Brownian motion and their applications in mathematical finance. The main result is a closed form version for Akahori’s generalized arc-sine law which can be exploited for pricing some innovative types of options in the Black & Scholes model. Moreover a straightforward proo...