Pricing of Securities

New submissions

• New submissions
• Replacements

New submissions for Tue, 7 May 24

[1]  arXiv:2405.02919 [pdf, ps, other]

Title: Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference

Authors: Agni Rakshit, Gautam Bandyopadhyay, Tanujit Chakraborty

Subjects: Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

The Black-Scholes option pricing model remains a cornerstone in financial mathematics, yet its application is often challenged by the need for accurate hedging strategies, especially in dynamic market environments. This paper presents a rigorous analysis of hedge errors within the Black-Scholes framework, focusing on the efficacy of finite difference techniques in calculating option sensitivities. Employing an asymptotic approach, we investigate the behavior of hedge errors under various market conditions, emphasizing the implications for risk management and portfolio optimization. Through theoretical analysis and numerical simulations, we demonstrate the effectiveness of our proposed method in reducing hedge errors and enhancing the robustness of option pricing models. Our findings provide valuable insights into improving the accuracy of hedging strategies and advancing the understanding of option pricing in financial markets.

Replacements for Tue, 7 May 24

[2]  arXiv:2404.14137 (replaced) [pdf, ps, other]

Title: An Asymmetric Capital Asset Pricing Model

Authors: Abdulnasser Hatemi-J

Subjects: Pricing of Securities (q-fin.PR)

[3]  arXiv:2405.01479 (replaced) [pdf, other]

Title: On Quantum Ambiguity and Potential Exponential Computational Speed-Ups to Solving Dynamic Asset Pricing Models

Authors: Eric Ghysels, Jack Morgan

Comments: 51 pages, 4 figures

Subjects: Pricing of Securities (q-fin.PR); Quantum Physics (quant-ph)

• New submissions
• Replacements