Search Results - subject:"Itô's calculus"

Robert C. Merton : The Palgrave Companion to MIT Economics

Bodie, Zvi; Lo, Andrew W. - 2023

Robert C. Merton is the School of Management Distinguished Professor of Finance at Massachusetts Institute of Technology, and the John and Natty McArthur University Professor Emeritus at Harvard University. Merton received the Alfred Nobel Memorial Prize in Economic Sciences in 1997 for a new...

Persistent link: https://www.econbiz.de/10014348991

Pairs trading under delayed cointegration

Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 9, pp. 1627-1648

Persistent link: https://www.econbiz.de/10013367938

Robust control in a rough environment

Han, Bingyan; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 3, pp. 481-500

Persistent link: https://www.econbiz.de/10013167772

On pathwise functional Itô calculus and its applications to mathematical finance

Voloshchenko, Iryna - 2016

Persistent link: https://www.econbiz.de/10012321250

A closed-form option pricing approximation formula for a fractional Heston model

Alòs, Elisa; Yang, Yan - Department of Economics and Business, Universitat … - 2014

increases. Then, by means of classical Itô's calculus we decompose option prices as the sum of the classical Black …

Persistent link: https://www.econbiz.de/10010938706

First-order asymptotics of path-dependent derivatives in multiscale stochastic volatility environment

Saporito, Yuri F. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10011889526

A linear regression approach for determining option pricing for currency-rate diffusion model with dependent stochastic volatility, stochastic interest rate, and return processes

Jagannathan, Raj - In: Journal of mathematical finance 8 (2018) 1, pp. 161-177

Persistent link: https://www.econbiz.de/10011846254

Stochastic Ito-Calculus and numerical approximations for asset price forecasting in the Nigerian stock market

Urama, Thomas Chinwe; Ezepue, Patrick Oseloka - In: Journal of mathematical finance 8 (2018) 4, pp. 640-667

Persistent link: https://www.econbiz.de/10012016532

A functional Itô's calculus approach to convex risk measures with jump diffusion

Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883

Persistent link: https://www.econbiz.de/10011445346

A decomposition formula for option prices in the Heston model and applications to option pricing approximation

Alòs, Elisa - Department of Economics and Business, Universitat … - 2009

By means of classical Itô's calculus we decompose option prices as the sum of the classical Black-Scholes formula with …

Persistent link: https://www.econbiz.de/10008558986

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