12 citations · 16 across the 6 of their papers we have counts for
6 papers
An Application of Dirac's Interaction Picture to Option Pricing
Mauricio Contreras G
In this paper, the Dirac's quantum mechanical interaction picture is applied to option pricing to obtain a solution of the Black-Scholes equation in the presence of a time-dependen…
Endogenous Stochastic Arbitrage Bubbles and the Black--Scholes model
Mauricio Contreras G
This paper develops a model that incorporates the presence of stochastic arbitrage explicitly in the Black--Scholes equation. Here, the arbitrage is generated by a stochastic bubbl…
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…