Zobrazeno 1 - 10
of 1 737
pro vyhledávání: '"Fabozzi, Frank J."'
We present a unified, market-complete model that integrates both the Bachelier and Black-Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the
Externí odkaz:
http://arxiv.org/abs/2405.12479
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mitigation measures are implemented to manage inherent risks associated w
Externí odkaz:
http://arxiv.org/abs/2308.15661
Motivated by the Corns-Satchell, continuous time, option pricing model, we develop a binary tree pricing model with underlying asset price dynamics following It\^o-Mckean skew Brownian motion. While the Corns-Satchell market model is incomplete, our
Externí odkaz:
http://arxiv.org/abs/2303.17014