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Pricing Options When Asset Return Follows a ''Colored'' Brownian Process
Zhu, Steven H. - 2010
The evolution of prices in market is usually given by geometric Brownian motion, where the Brownian process describes fluctuations is often called "white" noise. We study the effect of correlations introduced by a "colored" noise. We demonstrate how the "color" Brownian process may capture the...
Persistent link: https://www.econbiz.de/10013139015
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An intertemporal general equilibrium asset pricing model : the case of diffusion information
Huang, Chi-fu - In: Econometrica : journal of the Econometric Society, an … 55 (1987) 1, pp. 117-147
Persistent link: https://www.econbiz.de/10001016507
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Intertemporal preferences for uncertain consumption : a continuous time approach
Hindy, Ayman - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 4, pp. 781-801
Persistent link: https://www.econbiz.de/10001129066
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Nonnegative wealth, absence of arbitrage, and feasible consumption plans
Dybvig, Philip H. - In: The review of financial studies 1 (1988) 4, pp. 377-401
Persistent link: https://www.econbiz.de/10001106332
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Optimal consumption and portfolio policies when asset prices follow a diffusion process
Cox, John Carrington - In: Journal of economic theory 49 (1989) 1, pp. 33-83
Persistent link: https://www.econbiz.de/10001075700
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On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V. (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001825768
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On the fundamental theorem of asset pricing : random constraints and bang-bang no-arbitrage criteria
Evstigneev, Igor V.; Schürger, Klaus; Taksar, Michael I. - In: Mathematical finance : an international journal of … 14 (2004) 2, pp. 201-221
Persistent link: https://www.econbiz.de/10002032691
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Asset pricing and hedging in financial markets with transaction costs : an approach based on the von Neumann-Gale model
Dempster, Michael A. H. (contributor);  … - 2005
Persistent link: https://www.econbiz.de/10003187224