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mauriccio1965's submissions

mauriccio1965's picturemauriccio1965's Profile | Submissions (5) | Comments (2) | Blogs (0)
Dynamic Option Pricing with Endogenous Stochastic Arbitrage

Mauricio Contreras, Rodrigo Montalva, Rely Pellicer and Marcelo Villena

posted by mauriccio1965's picturemauriccio1965, 16 May 2016

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A quantum model of option pricing: When Black–Scholes meets Schrödinger and its semi-classical limit

Mauricio Contreras, Rely Pellicer, Marcelo Villena, Aaron Ruiz

posted by mauriccio1965's picturemauriccio1965, 16 May 2016

link (1036 views, 0 download, 0 comments)

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Stochastic volatility models, singular dynamics and constrained path integrals

Mauricio Contreras and Sergio Hojman

posted by mauriccio1965's picturemauriccio1965, 15 May 2016

link (930 views, 0 download, 1 comments)

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Stochastic volatility models at ρ = ±1 as second class constrained Hamiltonian systems

Mauricio Contreras G.

posted by mauriccio1965's picturemauriccio1965, 09 May 2016

link (595 views, 82 download, 0 comments)

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Multi-asset Black–Scholes model as a variable second class constrained dynamical system

M. Bustamante, M. Contreras

posted by mauriccio1965's picturemauriccio1965, 09 May 2016

link (955 views, 505 download, 1 comments)

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