Results 51 to 60 of about 32,884 (141)

A Comparative Review of Specification Tests for Diffusion Models

International Statistical Review, EarlyView.
Summary Diffusion models play an essential role in modelling continuous‐time stochastic processes in the financial field. Therefore, several proposals have been developed in the last decades to test the specification of stochastic differential equations.
A. López‐Pérez, D. Diz‐Castro, M. Febrero‐Bande, W. González‐Manteiga   +3 more
wiley   +1 more source

Specification Tests for Jump‐Diffusion Models Based on the Characteristic Function

International Statistical Review, EarlyView.
Summary Goodness‐of‐fit tests are suggested for several popular jump‐diffusion processes. The suggested test statistics utilise the marginal characteristic function of the model and its L2‐type discrepancy from an empirical counterpart. Model parameters are estimated either by minimising the aforementioned L2‐type discrepancy or by maximum likelihood ...
Gerrit Lodewicus Grobler, Denis Belomestny, Simos George Meintanis, Emanuele Taufer   +3 more
wiley   +1 more source

Options hedging under liquidity costs [PDF]

, 2006
Following the framework of Cetin, Jarrow and Protter (CJP) we study the problem of super-replication in presence of liquidity costs under additional restrictions on the gamma of the hedging strategies in a generalized Black-Scholes economy.
Cetin, Umut, Soner, Halil Mete, Touzi, Nizar, Çetin, Umut   +3 more
core  

Inscribing Impact: Measurement Practices in the Making of Moral Markets

Journal of Management Studies, EarlyView.
Abstract Moral markets, designed to generate positive impact on pressing social and environmental challenges, are transforming traditional market practices by including more than economic considerations in their operations. The importance of these markets continues to grow as investors, regulators, and consumers increasingly put pressure on companies ...
Guillermo Casasnovas, Lisa Hehenberger, Kyriaki Papageorgiou   +2 more
wiley   +1 more source

An improved approximate method for solving two-dimensional time-fractional-order Black-Scholes model: a finite difference approach

AIMS Mathematics
In this paper, we considered the two-dimensional fractional-order Black-Scholes model in the Liouville-Caputo sense. The Black-Scholes model was an important tool in the financial market, used for determining option prices in the European-style market ...
Din Prathumwan, Din Prathumwan, Thipsuda Khonwai , Narisara Phoochalong, Inthira Chaiya, Kamonchat Trachoo   +5 more
doaj   +1 more source

Pseudo Hermitian formulation of Black-Scholes equation

, 2011
We show that the non Hermitian Black-Scholes Hamiltonian and its various generalizations are eta-pseudo Hermitian. The metric operator eta is explicitly constructed for this class of Hamitonians.
Ataullah, Baaquie, Baaquie, Baaquie, Baaquie, Bender, Choustova, Contreras, Haven, Haven, Haven, Henry-Laboredere, Ilinski, Jana, Li, Linetsky, Mantegna, Mostafazadeh, P. Roy, Schaden, T.K. Jana   +20 more
core   +1 more source

Measure‐valued processes for energy markets

Mathematical Finance, Volume 35, Issue 2, Page 520-566, April 2025.
Abstract We introduce a framework that allows to employ (non‐negative) measure‐valued processes for energy market modeling, in particular for electricity and gas futures. Interpreting the process' spatial structure as time to maturity, we show how the Heath–Jarrow–Morton approach can be translated to this framework, thus guaranteeing arbitrage free ...
Christa Cuchiero, Luca Di Persio, Francesco Guida, Sara Svaluto‐Ferro   +3 more
wiley   +1 more source

An adaptive moving mesh method for a time-fractional Black–Scholes equation

Advances in Difference Equations, 2019
In this paper we study the numerical method for a time-fractional Black–Scholes equation, which is used for option pricing. The solution of the fractional-order differential equation may be singular near certain domain boundaries, which leads to ...
Jian Huang, Zhongdi Cen, Jialiang Zhao
doaj   +1 more source

The modified homotopy perturbation method and its application to the dynamics of price evolution in Caputo-fractional order Black Scholes model

Beni-Suef University Journal of Basic and Applied Sciences, 2023
Background Following a financial loss in trades due to lack of risk management in previous models from market practitioners, Fisher Black and Myron Scholes visited the academic setting and were able to mathematically develop an option pricing equation ...
Adedapo Ismaila Alaje, Morufu Oyedunsi Olayiwola, Kamilu Adewale Adedokun, Joseph Adeleke Adedeji, Asimiyu Olamilekan Oladapo, Yunus Olanrewaju Akeem   +5 more
doaj   +1 more source

Perpetual Futures Pricing

Mathematical Finance, EarlyView.
ABSTRACT Perpetual futures are contracts without expiration date in which the anchoring of the futures price to the spot price is ensured by periodic funding payments from long to short. We derive explicit expressions for the no‐arbitrage price of various perpetual contracts, including linear, inverse, and quantos futures in both discrete and ...
Damien Ackerer, Julien Hugonnier, Urban Jermann   +2 more
wiley   +1 more source