Option Valuation Under the Effect of Time Dilation

5 Pages Posted: 18 Jan 2016

See all articles by Michael Bloss

Michael Bloss

European Institute of Financial Engineering and Derivatives

Manuel Kleinknecht

University of Essex

Date Written: January 17, 2016

Abstract

110 years ago, Einstein published his Theory of Special Relativity. In this thought experiment, we introduce Einstein’s idea of time dilation to option valuation. We analyse the effect of time dilation on the time decay of an European long call option.

Keywords: Black Scholes, Einstein, Time Dilation

Suggested Citation

Bloss, Michael and Kleinknecht, Manuel, Option Valuation Under the Effect of Time Dilation (January 17, 2016). Available at SSRN: https://ssrn.com/abstract=2716997 or http://dx.doi.org/10.2139/ssrn.2716997

Michael Bloss (Contact Author)

European Institute of Financial Engineering and Derivatives ( email )

Nürtingen
Germany

Manuel Kleinknecht

University of Essex ( email )

Wivenhoe Park
Colchester, CO4 3SQ
United Kingdom

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