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q-fin.PR2025
Marketron Through the Looking Glass: From Equity Dynamics to Option Pricing in Incomplete Markets
Igor Halperin, Andrey Itkin
The Marketron model, introduced by [Halperin, Itkin, 2025], describes price formation in inelastic markets as the nonlinear diffusion of a quasiparticle (the marketron) in a multid…
q-fin.PR2012★ 1 cited
Pricing Illiquid Options with Liquid Proxies Using Mixed Dynamic-Static Hedging
I. Halperin, A. Itkin
We study the problem of optimal pricing and hedging of a European option written on an illiquid asset using a set of proxies: a liquid asset , and liquid European option…