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Published / Preprint: A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing. (arXiv:1311.7027v1 [q-fin.PR])
Published / Preprint: Path Integral and Asian Options. (arXiv:1008.4841v2 [q-fin.PR] UPDATED)
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Blog Post: TheFinancialServicesClub:

Posted: 28 Nov 2013 02:09 AM PST

Blog Post: TheAlephBlog: Why I Resist Trends

Posted: 28 Nov 2013 01:48 AM PST

Portfolio Rule Seven says:read more...

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Published / Preprint: A note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing. (arXiv:1311.7027v1 [q-fin.PR])

Posted: 27 Nov 2013 05:37 PM PST

We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper "Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing" by B. Wong and C.C. Heyde (Stochastics, 2010) in the context of incomplete It\^o-process models. We show that their approach can only work in the known case of a complete financial market model and give an...

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Published / Preprint: Path Integral and Asian Options. (arXiv:1008.4841v2 [q-fin.PR] UPDATED)

Posted: 27 Nov 2013 05:37 PM PST

In this paper we analytically study the problem of pricing an arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral is defined by an effective action functional whose potential term is an exponential function. This path integral is evaluated by use of the Feynman-Kac theorem. After working out some...

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