TOWARDS NON-EQUILIBRIUM OPTION PRICING THEORY
نویسندگان
چکیده
منابع مشابه
Towards non-equilibrium option pricing theory
A recently proposed model (by Ilinski et al.) for the dynamics of intermediate deviations from equilibrium of financial markets ( “virtual” arbitrage returns) is incorporated within an equilibrium (arbitrage-free) pricing method for derivatives on securities (e.g. stocks) using an equivalence to option pricing theory with stochastic interest rates. Making the arbitrage return a component of a f...
متن کاملStochastic relaxational dynamics applied to finance: towards non-equilibrium option pricing theory
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. Equilibrium in financial markets is defined as the absence of arbitrage, i.e. profits “for nothing”. A recently proposed model (by Ilinski et al.) considers fluctuations around this equilibrium state b...
متن کاملA Theory of Non-Gaussian Option Pricing
A generalized option-pricing formula is found, based on a nonGaussian stock price model. The dynamics of the underlying stock are assumed to follow a stochastic process with anomalous nonlinear diffusion, phenomenologically modelled as a statistical feedback process within the framework of the generalized thermostatistics proposed by Tsallis. A generalized form of the Black-Scholes differential...
متن کاملFAQ’s in Option Pricing Theory
We consider several Frequently Asked Questions (FAQ’s) in option pricing theory. I thank Ajay Khanna and Carol Marquardt for their comments.
متن کاملTheory of Rational Option Pricing
Your use of the JSTOR archive indicates your acceptance of JSTOR's Terms and Conditions of Use, available at http://www.jstor.org/page/info/about/policies/terms.jsp. JSTOR's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2000
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024900000607