Results 71 to 80 of about 32,893 (190)
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 +3 more
wiley +1 more source
, 2005 In this work we are concerned with the analysis and numerical solution of Black-Scholes type equations arising in the modeling of incomplete financial markets and an inverse problem of determining the local volatility function in a generalized Black-Scholes model from observed option prices. In the first chapter a fully nonlinear Black-Scholes equation
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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 +2 more
wiley +1 more source
Results in Applied MathematicsThe objective of this study is to examine the dynamic components of option pricing in the European put option market by utilizing the two-dimensional time fractional-order Black–Scholes equation.
Mohammad Hossein Akrami +2 more
doaj +1 more source
On properties of solutions to Black–Scholes–Barenblatt equations
Advances in Difference Equations, 2019 This paper is concerned with the Black–Scholes–Barenblatt equation ∂tu+r(x∂xu−u)+G(x2∂xxu)=0 $\partial _{t}u+r(x\partial _{x}u-u)+G(x^{2}\partial _{xx}u)=0$, where G(α)=12(σ‾2−σ_2)|α|+12(σ‾2+σ_2)α $G(\alpha )=\frac{1}{2}(\overline{\sigma}^{2}-\underline{\
Xinpeng Li, Yiqing Lin, Weicheng Xu
doaj +1 more source
The Black-Scholes-Merton dual equation
, 2019 We derive the Black-Scholes-Merton dual equation, which has exactly the same form as the Black-Scholes-Merton equation. The novel and general equation works for options with a payoff of homogeneous of degree one, including European, American, Bermudan, Asian, barrier, lookback, etc., and leads to new insights into pricing and hedging.
Guo, Shuxin, Liu, Qiang
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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 +3 more
wiley +1 more source
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 +2 more
wiley +1 more source
Reinforcement Learning for Jump‐Diffusions, With Financial Applications
Mathematical Finance, EarlyView.ABSTRACT We study continuous‐time reinforcement learning (RL) for stochastic control in which system dynamics are governed by jump‐diffusion processes. We formulate an entropy‐regularized exploratory control problem with stochastic policies to capture the exploration–exploitation balance essential for RL.
Xuefeng Gao, Lingfei Li, Xun Yu Zhou
wiley +1 more source
Diffusion transformations, Black–Scholes equation and optimal stopping [PDF]
The Annals of Applied Probability, 2018 We develop a new class of path transformations for one-dimensional diffusions that are tailored to alter their long-run behaviour from transient to recurrent or vice versa. This immediately leads to a formula for the distribution of the first exit times of diffusions, which is recently characterised by Karatzas and Ruf \cite{KR} as the minimal solution
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