3 papers
cond-mat.other2005
Arbitrage Opportunities and their Implications to Derivative Hedging
Stephanos Panayides
We explore the role that random arbitrage opportunities play in hedging financial derivatives. We extend the asymptotic pricing theory presented by Fedotov and Panayides [Stochasti…
cond-mat.other2004
An Adaptive Method for Valuing an Option on Assets with Uncertainty in Volatility
Sergei Fedotov, Stephanos Panayides
We present an adaptive approach for valuing the European call option on assets with stochastic volatility. The essential feature of the method is a reduction of uncertainty in late…
cond-mat.other2004
Volatility smile and stochastic arbitrage returns
Sergei Fedotov, Stephanos Panayides
The purpose of this work is to explore the role that random arbitrage opportunities play in pricing financial derivatives. We use a non-equilibrium model to set up a stochastic por…