We develop a continuous-time evolutionary market model where prices are endogenously generated by supply and demand. Investment strategies are assumed to be fix-mix, which means that the relative budget shares are constant in time. The model is therefore a hybrid. While given portfolio rules...

We discuss how implied volatilities for OTC traded Asian options can be computed by combining Monte Carlo techniques with the Newton method in order to solve nonlinear equations. The method relies on accurate and fast computation of the corresponding vegas of the option. In order to achieve this...

In this paper we study the question what value an agent in a generalized Black-Scholes model with partial information attributes to the complementary information. To do this, we study the utility maximization problems from terminal wealth for the two cases partial information and full...

Geometric mean reversion plays a fundamental role in economic dynamic models. While it is known, at least since Merton (1975) [9], that the equilibrium distribution of geometric mean reversion is a Gamma distribution, an explicit expression for the non-equilibrium distribution has not been...

This paper derives an analytic expression for the distribution of the average volatility $\frac{1}{T-t} \int_t^T \sigma_s^2 ds$ in the stochastic volatility model of Hull and White. This result answers a longstanding question, posed by Hull and White (Journal of Finance 42, 1987), whether such...