Artikel
Relativistic option pricing
The change of information near light speed, advances in high-speed trading, spatial arbitrage strategies and foreseen space exploration, suggest the need to consider the effects of the theory of relativity in finance models. Time and space, under certain circumstances, are not dissociated and can no longer be interpreted as Euclidean. This paper provides an overview of the research made in this field while formally defining the key notions of spacetime, proper time and an understanding of how time dilation impacts financial models. We illustrate how special relativity modifies option pricing and hedging, under the Black-Scholes model, when market participants are in two different reference frames. In particular, we look into maturity and volatility relativistic effects.
- Language
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Englisch
- Bibliographic citation
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Journal: International Journal of Financial Studies ; ISSN: 2227-7072 ; Volume: 9 ; Year: 2021 ; Issue: 2 ; Pages: 1-24 ; Basel: MDPI
- Classification
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Wirtschaft
General Financial Markets: General (includes Measurement and Data)
Asset Pricing; Trading Volume; Bond Interest Rates
Financial Forecasting and Simulation
General Financial Markets: Other
- Subject
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econophysics
proper time
spacetime finance
time dilation
- Event
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Geistige Schöpfung
- (who)
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Carvalho, Vítor Hugo Ferreira
Gaspar, Raquel M.
- Event
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Veröffentlichung
- (who)
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MDPI
- (where)
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Basel
- (when)
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2021
- DOI
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doi:10.3390/ijfs9020032
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Carvalho, Vítor Hugo Ferreira
- Gaspar, Raquel M.
- MDPI
Time of origin
- 2021
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