Black-Scholes equation from Gauge Theory of Arbitrage

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dc.creatorIlinski, Kirill
dc.creatorKalinin, Gleb
dc.date1997-12-03
dc.date1998-10-26
dc.date.accessioned2026-07-07T12:43:39Z
dc.date.available2026-07-07T12:43:39Z
dc.descriptionWe apply Gauge Theory of Arbitrage (GTA) {hep-th/9710148} to derivative pricing. We show how the standard results of Black-Scholes analysis appear from GTA and derive correction to the Black-Scholes equation due to a virtual arbitrage and speculators reaction on it. The model accounts for both violation of the no-arbitrage constraint and non-Brownian price walks which resemble real financial data. The correction is nonlocal and transform the differential Black-Scholes equation to an integro-differential one.
dc.descriptionLatex, 19 pages
dc.identifierhttps://arxiv.org/abs/hep-th/9712034
dc.identifierhttp://arxiv.org/abs/hep-th/9712034
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/220495
dc.subjectHigh Energy Physics - Theory
dc.subjectStatistical Mechanics
dc.subjectHigh Energy Physics - Lattice
dc.subjectPhysics and Society
dc.subjectPricing of Securities
dc.titleBlack-Scholes equation from Gauge Theory of Arbitrage
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