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Pricing of Securities

Authors and titles for recent submissions

[ total of 7 entries: 1-7 ]
[ showing up to 25 entries per page: fewer | more ]

Wed, 21 Aug 2019

[1]  arXiv:1908.07417 (cross-list from q-fin.MF) [pdf, ps, other]
Title: A lognormal type stochastic volatility model with quadratic drift
Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

Tue, 20 Aug 2019

[2]  arXiv:1908.06358 [pdf, ps, other]
Title: Entropic Dynamics of Exchange Rates and Options
Journal-ref: Entropy 2019, 21(8), 765
Subjects: Pricing of Securities (q-fin.PR)
[3]  arXiv:1908.06355 [pdf, ps, other]
Title: Entropic Dynamics of Stocks and European Options
Journal-ref: Entropy 2019, 21(8), 765
Subjects: Pricing of Securities (q-fin.PR)

Mon, 19 Aug 2019

[4]  arXiv:1908.05850 (cross-list from q-fin.MF) [pdf, ps, other]
Title: Linear Stochastic Dividend Model
Authors: Sander Willems
Subjects: Mathematical Finance (q-fin.MF); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR)

Fri, 16 Aug 2019

[5]  arXiv:1908.05405 [pdf, other]
Title: Risk-neutral option pricing under GARCH intensity model
Authors: Kyungsub Lee
Journal-ref: International Journal of Pure and Applied Mathematics, 114, pp. 619-638, 2017
Subjects: Pricing of Securities (q-fin.PR)

Thu, 15 Aug 2019

[6]  arXiv:1908.05105 [pdf, other]
Title: Performance of tail hedged portfolio with third moment variation swap
Journal-ref: Computational Economics, 2017, 50, pp 447--471
Subjects: Pricing of Securities (q-fin.PR); Computational Finance (q-fin.CP); Portfolio Management (q-fin.PM); Risk Management (q-fin.RM)
[7]  arXiv:1908.04959 (cross-list from q-fin.ST) [pdf, other]
Title: Computational method for probability distribution on recursive relationships in financial applications
Subjects: Statistical Finance (q-fin.ST); Computational Finance (q-fin.CP); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)
[ total of 7 entries: 1-7 ]
[ showing up to 25 entries per page: fewer | more ]

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