| A symmetric group arising from the Black-Scholes assumptions |
| کد مقاله : 1074-FEMATH5 |
| نویسندگان: |
|
محمد جلوداری ممقانی * دانشگاه علامه طباطبایی تهران دانشکده علوم ریاضی و رایانه گروه آموزشی ریاضی مالی |
| چکیده مقاله: |
| In the Black-Scholes frame work the concept of price is assumed to be a known concept and it is the pricing process that is being discussed. In Economics there is a principal that says that the prices is determined in the market by supply and demand processes not by any one and any other place. Therefore two assets in the market cannot be compared easily due to asynchronousness of their trading process, except that we assume they are traded simultaneously, i.e. their prices are known in any time. In this paper we discuss the assumption of liquidity in the Black-Scholes frame work that facilitate to create links between mathematical finance and some branches of mathematics, such as geometry and group theory. Specifically we associate to each financial market sitting in the Black-Scholes frame work, a group, the symmetric group of the market. Using this group one can touch some geometric properties of the market. |
| کلیدواژه ها: |
| Black-Scholes frame work, symmetric group, liquidity, price. |
| وضعیت : مقاله برای ارائه به صورت پوستر پذیرفته شده است |