Search Results - subject:"Local time"

Arbitrage problems with reflected geometric Brownian motion

Buckner, Dean; Dowd, Kevin; Hulley, Hardy - In: Finance and stochastics 28 (2024) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10014447570

Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon

De Angelis, Tiziano - 2022

Persistent link: https://www.econbiz.de/10013331014

A general limit theory for nonlinear functionals of nonstationary time series

Wang, Qiying; Phillips, Peter C. B. - 2022

Persistent link: https://www.econbiz.de/10013326692

A financial market with singular drift and no arbitrage

Agram, Nacira; Øksendal, Bernt K. - In: Mathematics and financial economics 15 (2021) 3, pp. 477-500

Persistent link: https://www.econbiz.de/10012586178

Protecting pegged currency markets from speculative investors

Neuman, Eyal; Schied, Alexander - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 405-420

Persistent link: https://www.econbiz.de/10012815970

Nonparametric estimation of jump diffusion models

Park, Joon Y.; Wang, Bin - In: Journal of econometrics 222 (2021) 1,3, pp. 688-715

Persistent link: https://www.econbiz.de/10012619778

A Markov chain approximation scheme for option pricing under skew diffusions

Ding, Kailin; Cui, Zhenyu; Wang, Yongjin - In: Quantitative finance 21 (2021) 3, pp. 461-480

Persistent link: https://www.econbiz.de/10012483834

Optimal mean-variance portfolio selection with no-short-selling constraint

Xu, Jingsi - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-25

Persistent link: https://www.econbiz.de/10012496930

On the American swaption in the linear-rational framework

Filipović, Damir; Kitapbayev, Yerkin - 2016

we tackle by the local time-space calculus. We characterize the optimal stopping boundary as the unique solution to a …

Persistent link: https://www.econbiz.de/10011516038

Asymptotic Theory for Zero Energy Density Estimation with Nonparametric Regression Applications

Wang, Qiying; Phillips, Peter C. B. - Cowles Foundation for Research in Economics, Yale University - 2009

A local limit theorem is given for the sample mean of a zero energy function of a nonstationary time series involving twin numerical sequences that pass to infinity. The result is applicable in certain nonparametric kernel density estimation and regression problems where the relevant quantities...

Persistent link: https://www.econbiz.de/10005593277

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