Showing 1 - 10 of 166
This paper uses an asymptotically valid expansion to derive explicitly agent's individual demand schedules and then the equilibrium allocations in options. Agents derive financial and non-tradeable income over time; they can only partially offset the latter using bonds and stocks and the option...
Persistent link: https://www.econbiz.de/10005345628
One aim of Viability Theory is to regulate evolutions under uncertainty in order not only to reach a target in finite … take into account limitations on prices and quantities to share. Moreover, extension of Viability Theory to hybrid or …
Persistent link: https://www.econbiz.de/10005132590
This paper uses an evolutionary approach incorporating the idea of natural selection to examine market behavior in a one-sided buyer auction market. Even with no traders' rationality (such as rational expectations and adaptive learning) and with each trader's behavior preprogrammed with its own...
Persistent link: https://www.econbiz.de/10005132870
The fact that expected payoffs on assets and call options are infinite under most log-stable distributions led both Paul Samuelson (as quoted by Smith 1976) and Robert Merton (1976) to conjecture that assets and derivatives could not be reasonably priced under these distributions, despite their...
Persistent link: https://www.econbiz.de/10005345263
Persistent link: https://www.econbiz.de/10005706624
In this paper we explore ways that alleviate problems of nonparametric (artificial neural networks) and parametric option pricing models by combining the two. The resulting enhanced network model is compared to standard artificial neural networks and to parametric models with several historical...
Persistent link: https://www.econbiz.de/10005537400
Persistent link: https://www.econbiz.de/10005132833
The 1987 stock market crash, the LTCM debacle, the Asian Crisis, the bursting of the high technology Dot-Com bubble of 2001-2 with 30% losses of equity values, events such as 9/11 and sudden corporate collapses of the magnitude of Enron - have radically changed the view that extreme events have...
Persistent link: https://www.econbiz.de/10005343048
This paper investigates the dynamics of trade duration and the relationship between price volatility and trade durations for the Morgan Stanley Taiwan stock index futures traded on the Singapore Exchange (SGX). It is found that the conditional expected trade durations are significantly related...
Persistent link: https://www.econbiz.de/10005345355
Dynamic stochastic general equilibrium models have begun to dominate the field of macroeconomic theory and policy …
Persistent link: https://www.econbiz.de/10005537414