A warrant is an option that entitles the holder to purchase shares of a common stock at some prespecified price during a specified interval. The problem of pricing a perpetual warrant (with no specified interval) of the American type (that can be exercised any time) is one of the earliest contingent claim pricing problems in mathematical economics. The problem was first solved by Samuelson and ...

The exchange maker-taker pricing scheme affects incentives to take or make markets resulting in narrower bid-ask spreads. This study traces the effect of maker-taker pricing on stock quotations. The analyses consider distributions of quotation sizes, values implied from these sizes, and changes in these sizes and values. The results help inform the current debate on whether tick sizes should be...

This paper presents a general stock model for fuzzy markets based on a class of fuzzy process, that is, geometric Liu process. Firstly, a brief history of stock models and some methodologies used in stochastic stock models have been reviewed. Next, some useful concepts and properties about fuzzy process are presented. Then, a general stock model for fuzzy markets is formulated by way of fuzzy d...

We investigate the risk-return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices. In contrast with the capital asset pricing model, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk-return tra...

We consider dynamic pricing and replenishment decisions for a production/inventory system modeled by a make-to-stock queue. The potential customer demand is generated by a MarkovModulated (environment-dependent) Poisson process and the actual demand depends on the price offered at the time of the transaction. Using a Markov Decision Process framework, we obtain results on the structure of the o...

In this paper, we consider fractional Liu process. First, the membership functions, expected values and variances of arithmetic and geometric fractional Liu process are given. Then we suppose that stock price follows geometric fractional Liu process and formulate fractional Liu’s stock model. Based on this model, European option pricing formulas are obtained.

This paper presents computational approach for stock market prediction. Artificial Neural Network (ANN) forms a useful tool in predicting price movement of a particular stock. In the short term, the pricing relationship between the elements of a sector holds firmly. An ANN can learn this pricing relationship to high degree of accuracy and be deployed to generate profits with sufficiently large ...

This paper presents a type of stock models for uncertain markets by using uncertainty theory. Firstly, a brief history of stock models and some methodologies are reviewed. Next, some useful concepts and properties about uncertain process are recalled. Then, a stock model for uncertain markets is formulated by the tool of uncertain differential equation. Some option pricing formulas on the prop...