the 1987 stock market crash - a large literature has developed, which aims to extract the risk neutral probability density … returns. Under the postulation of the GEV distribution in the Risk Neutral Density (RND) function for the asset returns, we …

This paper investigates the dynamics of trade duration and the relationship between price volatility and trade … trade duration as found in previous studies. Price Volatility is inversely related to trade duration-related variables for … information-based datasets, which supports the argument of Easley and O"Hara (1992), whereby the volatility will be lessened when …

This paper creates an artificial stock market, from a minimalist heterogeneous agent model of futures speculation on a … non-storable commodity, with real time gross settlement. All agents have risk neutral preferences and stochastic adaptive … through a Walrasian auctioneer, similar to a call auction mechanism. <p> Price volatility and trader wealth are explored for …

We develop a new approach to valuing and hedging basket options. We consider baskets of assets with potentially … the hedging error. We analyze the option price sensitivities with respect to the assets' volatilities and correlations …; and explain the seemingly paradoxical phenomenon of negative volatility vegas …