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Option pricing and hedging with execution costs and market impact

Guéant, Olivier; Pu, Jiang - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 803-831

Persistent link: https://www.econbiz.de/10011764978

A PDE system for modeling stochastic storage in physical and nancialsystems

Howell, Sydney; Duck, Peter W.; Pinto, Helena; Strbac, Goran - Manchester Business School - 2006

For simple problems (only) in stochastic storage, analytic solutions are available,and although simulation is available … simulation.... …

Persistent link: https://www.econbiz.de/10005870112

Estimating the structural credit risk model when equity prices are contaminated by trading noises

Duan, Jin-Chuan; Fulop, Andras - 2005

simulation study is then conducted to ascertain the performance of the estimation method. …

Persistent link: https://www.econbiz.de/10011560691

An overreaction implementation of the coherent market hypothesis and option pricing

Schöbel, Rainer; Veith, Jochen - 2006

Inspired by the theory of social imitation (Weidlich 1970) and its adaptation to financial markets by the Coherent Market Hypothesis (Vaga 1990), we present a behavioral model of stock prices that supports the overreaction hypothesis. Using our dynamic stock price model, we develop a two factor...

Persistent link: https://www.econbiz.de/10010301798