Search Results - subject:"Martingale"

Speeding up the Euler scheme for killed diffusions

Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707

Persistent link: https://www.econbiz.de/10015130359

Martingale defects in the volatility surface and bubble conditions in the underlying

Stahl, Philip; Blauth, Jérôme - In: Review of Derivatives Research 27 (2024) 1, pp. 85-111

Abstract The martingale theory of bubbles enables testing for asset price bubbles by analyzing option prices. As … martingale when its parameterization implies a positive correlation between stock and option prices. We operationalize this … theoretical result and analyze stock price bubbles in 2576 stocks over 26 years. Martingale defect conditions are absorbed quickly …

Persistent link: https://www.econbiz.de/10015373221

Dispersion-constrained martingale Schrödinger problems and the exact joint S&P 500/VIX smile calibration puzzle

Guyon, Julien - In: Finance and stochastics 28 (2024) 1, pp. 27-79

Persistent link: https://www.econbiz.de/10014447575

Arbitrage theory in a market of stochastic dimension

Bayraktar, Erhan; Kim, Donghan; Tilva, Abhishek - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 847-895

Persistent link: https://www.econbiz.de/10014565276

Two-sample testing for tail copulas with an application to equity indices

Can, Sami Umut; Einmahl, John H. J.; Laeven, Roger J. A. - 2021

Persistent link: https://www.econbiz.de/10012586114

Efficiency testing of prediction markets : martingale approach, likelihood ratio and Bayes factor analysis

Richard, Mark; Večeř, Jan - In: Risks : open access journal 9 (2021) 2/31, pp. 1-20

-play football betting market using the quoted odds for the English Premier League. Our analysis is based on the martingale property …

Persistent link: https://www.econbiz.de/10012426965

Testing for the martingale difference hypothesis in multivariate time series models

Wang, Guochang; Zhu, Ke; Shao, Xiaofeng - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 3, pp. 980-994

Persistent link: https://www.econbiz.de/10013539404

A default contagion model for pricing defaultable bonds from an information based perspective

Nakagawa, Hidetoshi; Takada, Hideyuki - In: Quantitative finance 23 (2023) 1, pp. 169-185

Persistent link: https://www.econbiz.de/10013490963

The Martingale Index

Dimitrov, Valentin; Shafer, Glenn - 2023

this were called martingales in the 19th century. Traders in financial instruments also sometimes martingale; in fact, they … are martingaling whenever they respond to a margin call. The martingale index, defined in this paper, measures the portion … calculate the martingale index for some popular casino strategies and also for some strategies that model random trading in S …

Persistent link: https://www.econbiz.de/10014353665

Bootstrapping laplace transforms of volatility

Hounyo, Ulrich; Liu, Zhi; Varneskov, Rasmus Tangsgaard - In: Quantitative economics : QE ; journal of the … 14 (2023) 3, pp. 1059-1103

This paper studies inference for the realized Laplace transform (RLT) of volatility in a fixed‐span setting using bootstrap methods. Specifically, since standard wild bootstrap procedures deliver inconsistent inference, we propose a local Gaussian (LG) bootstrap, establish its first‐order...

Persistent link: https://www.econbiz.de/10014362565