We focus on a preference based approach when pricing options in a market driven by fractional Brownian motion. Within this framework we derive formulae for fractional European options using the traditional idea of conditional expectation. The obtained formulae - as well as further results -...

We develop and empirically test a continuous time equilibrium model for the pricing of oil futures. The model provides a link between no-arbitrage models and expectation oriented models. It highlights the role of sufficient inventories for oil futures pricing and for the explanation of...

Zusammenfassung Am Beispiel des Konjunkturmodells von Kaldor wird gezeigt, wie die Kontrolle eines chaotischen ökonomischen Systems mit begrenzten Ressourcen auch dann noch durchgeführt werden kann, wenn es sich bei dem zu stabilisierenden Gleichgewicht nicht mehr um einen sogenannten...

In this paper, we reexamine and extend the stochastic volatility model of Stein and Stein (1991) where volatility follows a mean-reversion Ornstein-Uhlenbeck process. Using Fourier inversion techniques we are able to allow for correlation between instan-taneous volatilities and the underlying...

Simple formulas for the price of corporate discount and coupon bonds are found using the Longstaff and Schwartz valuation approach for the debt claims of a firm, where default is triggered by a special State variable: the firm's asset-to-debt-ratio. Instead of keeping the total amount of debt...

In this paper we follow a different approach by taking a first step towards an option valuation model which does not explicitly make use of unobservable State variables. Instead of using a stochastic variance variable directly, we assume that the variance of stock returns is determined by the...

Am Beispiel des Konjunkturmodells von Kaldor wird gezeigt, wie die Kontrolle eines chaotischen Systems mit begrenzten Resourcen auch dann noch durchgeführt werden kann, wenn es sich bei dem zu stabilisierenden Gleichgewicht nicht mehr um einen sogenannten Sattelpunkt handelt. Diese...

In this paper we examine small sample properties of a generalized method of moments (GMM) estimation using Monte Carlo simulations. We assume that the generated time series describe the stochastic variance rate of a stock index. We use a mean reverting square-root prooess to simulate the...

In this paper we generalize a chaos control method developed by Ott, Grebogi and Yorke (1990) to control saddle points in R2 which are embadded in a strange attractor of a chaotic system. Our generalized method admits to control any unstable equilibrium in R2. We apply our findings to control...