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Entropic Dynamics of Jump-Diffusion Option Pricing [PDF]

Entropy
The standard models of stock-price dynamics and option valuation rest on stochastic processes postulated at the outset; here, we lay down an entropic-inference framework that derives these processes rather than assuming them, by making explicit the ...
Mohammad Abedi
doaj   +2 more sources

A Sharp Inequality for Martingale Transforms

Annals of Probability, 1979
If $g$ is the transform of a martingale $f$ under a predictable sequence $v$ uniformly bounded in absolute value by 1, then $$\lambda P(g^\ast \geqslant \lambda) \leqslant 2\|f\|_1, \lambda > 0$$, and this inequality is sharp.
D L Burkholder
exaly   +4 more sources

Transform martingale estimating functions

Annals of Statistics, 2007
Published in at http://dx.doi.org/10.1214/009053607000000299 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org)
exaly   +5 more sources

On martingale transformations of multidimensional Brownian Motion [PDF]

Statistics & Probability Letters, 2021
We describe the class of functions $f: R^n\to R^m$ which transform a vector Brownian Motion into a martingale and use this description to give martingale characterization of the general measurable solution of the multidimensional Cauchy functional equation.
Mania, M., Tevzadze, R.
openaire   +2 more sources

Pricing of Credit Risk Derivatives with Stochastic Interest Rate

Axioms, 2023
This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default ...
Wujun Lv, Linlin Tian
doaj   +1 more source

Matrix Summability of Walsh–Fourier Series

Mathematics, 2022
The presented paper discusses the matrix summability of the Walsh–Fourier series. In particular, we discuss the convergence of matrix transforms in L1 space and in CW space in terms of modulus of continuity and matrix transform variation.
Ushangi Goginava, Károly Nagy
doaj   +1 more source

Pricing Equity-Indexed Annuities under a Stochastic Dividend Model

Mathematics, 2023
In this paper, we examine the valuations of equity-indexed annuities (EIAs) when their reference stocks distribute stochastic dividends. Due to the fact that stocks typically pay dividends at discrete times after the payment dates are announced, pricing ...
Yuanchuang Shan, Huisheng Shu, Haoran Yi
doaj   +1 more source

Martingale Transforms between Martingale Hardy-amalgam Spaces [PDF]

Abstract and Applied Analysis, 2021
We discuss martingale transforms between martingale Hardy-amalgam spaces H p , q
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Nonequilibrium Geometric No-Arbitrage Principle and Asset Pricing Theorem

Discrete Dynamics in Nature and Society, 2023
We find a novel and intimate correspondence in the present paper between the martingale and one-parameter transformation group and develop a nonequilibrium geometric no-arbitrage principle to a frictional financial market via this correspondence. Further,
Wanxiao Tang, Peibiao Zhao
doaj   +1 more source

Paraproducts and Commutators of Martingale Transforms [PDF]

Proceedings of the American Mathematical Society, 1988
We define paraproducts in a probabilistic setting and study their boundedness properties. As an application of paraproduct techniques, we prove a generalization of the commutator result of Coifman-Rochberg-Weiss [ 6 ].
Bañuelos, Rodrigo, Bennett, Andrew G.
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