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cond-mat2000
Option Pricing and Hedging with Temporal Correlations
Lorenzo Cornalba, Jean-Philippe Bouchaud, Marc Potters
We consider the problem of option pricing and hedging when stock returns are correlated in time. Within a quadratic-risk minimisation scheme, we obtain a general formula, valid for…
hep-th2000
On the General Structure of the Non-Abelian Born-Infeld Action
L. Cornalba
We discuss the general structure of the non-abelian Born-Infeld action, together with all of the alpha-prime derivative corrections, in flat D-dimensional space-time. More specific…