Results 51 to 60 of about 1,698,577 (227)
Stochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory
, 1999 Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory.
Otto, Matthias
core +1 more source
Arbitrage with fixed costs and interest rate models [PDF]
We study securities market models with fixed costs. We first characterize the absence of arbitrage opportunities and provide fair pricing rules. We then apply these results to extend some popular interest rate and option pricing models that present ...
Clotilde Napp, Elyès Jouini
core +3 more sources
The Numerical Solution of Fractional Black-Scholes-Schrodinger Equation Using the RBFs Method
Advances in Mathematical Physics, 2020 In this paper, radial basis functions (RBFs) method was used to solve a fractional Black-Scholes-Schrodinger equation in an option pricing of financial problems. The RBFs method is applied in discretizing a spatial derivative process.
Naravadee Nualsaard +2 more
doaj +1 more source
Asian Option Pricing with Transaction Costs and Dividends under the Fractional Brownian Motion Model
Journal of Applied Mathematics, 2014 The pricing problem of geometric average Asian option under fractional Brownian motion is studied in this paper. The partial differential equation satisfied by the option’s value is presented on the basis of no-arbitrage principle and fractional formula.
Yan Zhang +3 more
doaj +1 more source
A Delayed Black and Scholes Formula I [PDF]
, 2006 In this article we develop an explicit formula for pricing European options when the underlying stock price follows a non-linear stochastic differential delay equation (sdde). We believe that the proposed model is sufficiently flexible to fit real market
Bachelier L. +21 more
core +5 more sources
Jurnal Ekonomi & Studi Pembangunan, 2018 This research attempts to analyze risk and stock return of consumer sector and construction sector at Indonesian Stock Exchange. This research used the documentation method to collect the data. Data has been taken from Bloomberg Terminal.
Christian Christian, Rinaldi Rustam
doaj
Some economic remarks on arbitrage theory [PDF]
Today's primarily mathematically oriented arbitrage theory does not address some economically important aspects of pricing. These are, first, the implicit conjecture that there is 'the' price of a portfolio, second, the exact formulation of no-arbitrage,
Nietert, Bernhard, Wilhelm, Jochen
core
Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios
Social Science Research Network, 2009 This paper investigates the limit properties of mean-variance (mv) and arbitrage pricing (ap) trading strategies using a general dynamic factor model, as the number of assets diverge to infinity.
M. Pesaran, P. Zaffaroni, Cesifo Working
semanticscholar +1 more source
Autoregressive multifactor APT model for U.S. Equity Markets [PDF]
Arbitrage Pricing Theory is a one period asset pricing model used to predict equity returns based on a multivariate linear regression. We choose three sets of factors – Market specific, firm specific, and an autoregressive return term to explain returns ...
Malhotra, Karan
core +1 more source
BSDEs driven by a multi-dimensional martingale and their applications to market models with funding costs [PDF]
, 2014 We establish some well-posedness and comparison results for BSDEs driven by one- and multi-dimensional martingales. On the one hand, our approach is largely motivated by results and methods developed in Carbone et al. (2008) and El Karoui and Huang (1997)
Nie, Tianyang, Rutkowski, Marek
core