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Quantum extension of European option pricing based on the Ornstein–Uhlenbeck process

Piotrowski, Edward W.; Schroeder, Małgorzata; … - In: Physica A: Statistical Mechanics and its Applications 368 (2006) 1, pp. 176-182

In this paper we propose an option pricing model based on the Ornstein–Uhlenbeck process. It is a fresh look at the option pricing which is grounded on the quantum game theory and it is more subtle. We show the differences between a classical look which is price changing by a Wiener process...

Persistent link: https://www.econbiz.de/10011061605

Visibility graph network analysis of gold price time series

Long, Yu - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 16, pp. 3374-3384

Mapping time series into a visibility graph network, the characteristics of the gold price time series and return temporal series, and the mechanism underlying the gold price fluctuation have been explored from the perspective of complex network theory. The network degree distribution...

Persistent link: https://www.econbiz.de/10011058027

A unified model for price return distributions used in econophysics

Bucsa, G.; Jovanovic, F.; Schinckus, C. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 20, pp. 3435-3443

For a decade, a new theoretical movement called “econophysics” has been initiated by some physicists who began to … objective of this paper is precisely to provide a unified framework in order to contribute to unify econophysics and to base …

Persistent link: https://www.econbiz.de/10011060292

Geometry of financial markets—Towards information theory model of markets

Piotrowski, Edward W.; Sładkowski, Jan - In: Physica A: Statistical Mechanics and its Applications 382 (2007) 1, pp. 228-234

Most parameters used to describe states and dynamics of financial market depend on proportions of the appropriate variables rather than on their actual values. Therefore, projective geometry seems to be the correct language to describe the theater of financial activities. We suppose that the...

Persistent link: https://www.econbiz.de/10011060381

The application of continuous-time random walks in finance and economics

Scalas, Enrico - In: Physica A: Statistical Mechanics and its Applications 362 (2006) 2, pp. 225-239

This paper reviews some applications of continuous time random walks (CTRWs) to Finance and Economics. It is divided …

Persistent link: https://www.econbiz.de/10010590919

Copula based multivariate semi-Markov models with applications in high-frequency finance

D'Amico, Guglielmo; Petroni, Filippo - In: European journal of operational research : EJOR 267 (2018) 2, pp. 765-777

Persistent link: https://www.econbiz.de/10011812746

American options and stochastic interest rates

Battauz, Anna; Rotondi, Francesco - In: Computational management science 19 (2022) 4, pp. 567-604

Persistent link: https://www.econbiz.de/10013447493

Searching for histogram patterns due to macroscopic fluctuations in financial time series

Van Zyl, Verena Helen - 2007

This study aims to investigate whether the phenomena found by Shnoll et al. when applying histogrampattern analysis techniques to stochastic processes from chemistry and physics are also present infinancial time series, particularly exchange rate and index data. The phenomena are related to...

Persistent link: https://www.econbiz.de/10009442100

Biography : Kiyosi Itô and his influence on the study of agricultural finance and economics

Turvey, Calum G. - In: Agricultural Finance Review 70 (2010) 1, pp. 5-20

influence on the study of agricultural finance and agricultural economics. Design/methodology/approach – This paper is a … probability emerged as a critical piece of the economic puzzle. For scholars and practitioners of agricultural finance, the paper … influence on agricultural finance and agricultural economics. …

Persistent link: https://www.econbiz.de/10014667087

Mathematical finance : deterministic and stochastic models

Janssen, Jacques; Manca, Raimondo; Volpe, Ernesto - 2009

Persistent link: https://www.econbiz.de/10004929528