12 citations · 24 across the 8 of their papers we have counts for
8 papers
An Optimal Control Perspective on Classical and Quantum Physical Systems
Mauricio Contreras G., Marcelo Villena
In this paper, we analyze classical and quantum physical systems from an optimal control perspective. Specifically, we explore whether their associated dynamics can correspond to a…
Computing the CEV option pricing formula using the semiclassical approximation of path integral
Axel A. Araneda, Marcelo J. Villena
The Constant Elasticity of Variance (CEV) model significantly outperforms the Black-Scholes (BS) model in forecasting both prices and options. Furthermore, the CEV model has a mark…
Dynamic optimization and its relation to classical and quantum constrained systems
Mauricio Contreras, Rely Pellicer, Marcelo Villena
We study the structure of a simple dynamic optimization problem consisting of one state and one control variable, from a physicist's point of view. By using an analogy to a physica…
Calibration and simulation of arbitrage effects in a non-equilibrium quantum Black-Scholes model by using semiclassical methods
Mauricio Contreras, Rely Pellicer, Daniel Santiagos +1
An interacting Black-Scholes model for option pricing, where the usual constant interest rate r is replaced by a stochastic time dependent rate r(t) of the form r(t)=r+f(t) dW/dt,…
On the Efficient Market Hypothesis of Stock Market Indexes: The Role of Non-synchronous Trading and Portfolio Effects
Roberto Ortiz, Mauricio Contreras, Marcelo Villena
In this article, the long-term behavior of the stock market index of the New York Stock Exchange is studied, for the period 1950 to 2013. Specifically, the CRSP Value-Weighted and…
On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry
Mauricio Contreras, Alejandro Llanquihuén, Marcelo Villena
In this paper, we study the multi-asset Black-Scholes model in terms of the importance that the correlation parameter space (equivalent to an dimensional hypercube) has in the…
Dynamics and Stability in Retail Competition
Marcelo J. Villena, Axel A. Araneda
Retail competition today can be described by three main features: i) oligopolistic competition, ii) multi-store settings, and iii) the presence of large economies of scale. In thes…
Option Pricing of Twin Assets
Marcelo J. Villena, Axel A. Araneda
How to price and hedge claims on nontraded assets are becoming increasingly important matters in option pricing theory today. The most common practice to deal with these issues is…