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Pricing a European option in a black-scholes quanto market when stock price is a semimartingale
Offen, E. R.; Lungu, E. M. - In: Journal of mathematical finance 5 (2015) 3, pp. 286-303
Persistent link: https://www.econbiz.de/10011438535
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Semimartingale property and its connections to arbitrage
Samura, Sallieu Kabay; Mao, Junjun; Yao, Dengbao - In: Journal of mathematical finance 3 (2013) 2, pp. 237-241
Persistent link: https://www.econbiz.de/10010239605
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On local times : application to pricing using bid-ask
Kettler, Paul C.; Menoukeu-Pamen, Olivier; Proske, Frank - In: Journal of mathematical finance 4 (2014) 2, pp. 84-94
Persistent link: https://www.econbiz.de/10010380910
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Statistical arbitrage in S & P 500
Drakos, Stefanos - In: Journal of mathematical finance 6 (2016) 1, pp. 166-177
Persistent link: https://www.econbiz.de/10011543848
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Interest-rate modeling conundrums
Lin, Peter C. L. - In: Journal of mathematical finance 4 (2014) 5, pp. 328-332
Persistent link: https://www.econbiz.de/10011312409
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Calibration and simulation of arbitrage effects in a non-equilibrium quantum black-scholes model by using semi-classical methods
Contreras, Mauricio; Pellicer, Rely; Santiagos, Daniel; … - In: Journal of mathematical finance 6 (2016) 4, pp. 541-561
Persistent link: https://www.econbiz.de/10011656953
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Statistical arbitrage strategy in multi-asset market using time series analysis
Imai, Takahiro; Nakagawa, Kei - In: Journal of mathematical finance 10 (2020) 2, pp. 334-344
Persistent link: https://www.econbiz.de/10012545730
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Absolute adviser or stochastic model of trade on the “heavy tails” of distributions
Avdeenko, Alexey M. - In: Journal of mathematical finance 3 (2013) 2, pp. 268-274
Persistent link: https://www.econbiz.de/10010239573
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Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate
Sviščuk, Anatolij; Tertychnyi, Maksym; Hoang, Winsor - In: Journal of mathematical finance 4 (2014) 4, pp. 265-278
Persistent link: https://www.econbiz.de/10011312416
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On-line portfolio selection for a currency exchange market
Ren, Panpan; Wu, Jianglun - In: Journal of mathematical finance 6 (2016) 4, pp. 471-488
Persistent link: https://www.econbiz.de/10011656883