New developments in econophysics: Option pricing formulas

Moawia Alghalith

Papers from arXiv.org

Abstract: We synthesize and discuss some new developments in econophysics. In doing so, we focus on option pricing. We relax the assumptions of constant volatility and interest rate. In doing so, we rely on the square root of the Brownian motion. We also provide simple, closed-form pricing formulas for the American and Bermudan options.

Date: 2023-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Front.Phys.10:1036571 (2022)

Downloads: (external link)
http://arxiv.org/pdf/2301.11078 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2301.11078

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().