the option-pricing problem is always an important part in modern finance. assuming that the stock diffusion is a constant, some literature has introduced many stock models and given corresponding option pricing formulas within the framework of the uncertainty theory. in this paper, we propose a new stock model with uncertain stock diffusion for uncertain markets. some option pricing formulas on...

a r t i c l e i n f o JEL classification: C22 F31 F37 G12 G15 Keywords: Stock return Chinese stock market Conditional heteroskedasticity Leverage effect Regime persistence In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development , but is also viewed as one of the most volatile markets, which has been called by many observers a " casino ". This...

In a global economy, shocks occurring in one market can spill over to other markets. This paper investigates the impact of oil shocks and stock markets crashes on correlations between stock and oil markets. We test changes in correlations at different scales with non-overlapping confidence intervals based on estimated wavelet correlations. Contrary to other approaches, this method does not need...

stock selection method in stock exchange is an important issue for investors in such markets. investors will gain benefits more than market average provided that they make logical decisions while selecting stocks. the issue of stock selection in markets like tehran stock exchange (that are not so efficient) is requires more attention of the investors as there is not a suitable equilibrium betwe...

We use daily price indices obtained from the Morgan Stanley Capital International to construct realized volatility for 18 individual stock markets, including the US, and the world stock market. In contrast with the CAPM, we find that volatility by itself does not forecast excess returns in most countries; however, it becomes a significant predictor when combined with the US consumptionwealth ra...

Acknowledgements: We thank the two anonymous reviewers as well as Arina Soukhoroukova, Agnieszka Wolk and the participants of the " DIMACS Workshop on Markets as Predictive Devices (Information Markets) " at Rutgers University for their valuable feedback. of new products & innovation management. His research interests include technology and innovation management, new product development and ent...

In this paper, we examine the scope for international stock portfolio diversification, from the viewpoint of a United States representative investor, in regard to both the Asian and the European stock markets. Our findings indicate that despite correlation style evidence to the contrary, the European stock markets provide a superior long-term diversification opportunity relative to that provide...

Real market institutions, stock and commodity exchanges for example, do not occur in isolation. Company stock is frequently listed on several stock exchanges, allowing traders to potentially trade such stock in different markets. While there has been extensive research into agent-based trading in individual markets, there is little work on agents that trade in such multiple market scenarios. Ou...