ﻻ يوجد ملخص باللغة العربية
We propose an extension of the Cox-Ross-Rubinstein (CRR) model based on q-binomial (or Kemp) random walks, with application to default with logistic failure rates. This model allows us to consider time-dependent switching probabilities varying according to a trend parameter, and it includes tilt and stretch parameters that control increment sizes. Option pricing formulas are written using q-binomial coefficients, and we study the convergence of this model to a Black-Scholes type formula in continuous time. A convergence rate of order O(1/N) is obtained when the tilt and stretch parameters are set equal to one.
A new framework for asset price dynamics is introduced in which the concept of noisy information about future cash flows is used to derive the price processes. In this framework an asset is defined by its cash-flow structure. Each cash flow is modell
A stochastic model for pure-jump diffusion (the compound renewal process) can be used as a zero-order approximation and as a phenomenological description of tick-by-tick price fluctuations. This leads to an exact and explicit general formula for the
This paper presents the solution to a European option pricing problem by considering a regime-switching jump diffusion model of the underlying financial asset price dynamics. The regimes are assumed to be the results of an observed pure jump process,
In the classical model of stock prices which is assumed to be Geometric Brownian motion, the drift and the volatility of the prices are held constant. However, in reality, the volatility does vary. In quantitative finance, the Heston model has been s
We consider an incomplete multi-asset binomial market model. We prove that for a wide class of contingent claims the extremal multi-step martingale measure is a power of the corresponding single-step extremal martingale measure. This allows for close