Zobrazeno 1 - 10
of 88
pro vyhledávání: '"Hubalek, Friedrich"'
We consider weak convergence of a sequence of asset price models (Sn) to a limiting asset price model S. A typical case for this situation is the convergence of a sequence of binomial models to the Black-Scholes model, as studied by Cox, Ross, and Ru
Externí odkaz:
http://epub.wu.ac.at/1768/1/document.pdf
We analyze the convergence of expected utility under the approximation of the Black-Scholes model by binomial models. In a recent paper by D. Kreps and W. Schachermayer a surprising and somewhat counter-intuitive example was given: such a convergence
Externí odkaz:
http://arxiv.org/abs/2009.09751
Autor:
Hubalek, Friedrich, Radojicic, Dragana
This paper introduces a discrete limit order book model where new orders are placed with a fixed displacement from the mid-price. Further, the trade event occurs whenever the mid-price hits the price level on which there is some volume. Therefore, th
Externí odkaz:
http://arxiv.org/abs/2007.07792
We derive tail asymptotics for the running maximum of the Cox-Ingersoll-Ross process. The main result is proved by the saddle point method, where the tail estimate uses a new monotonicity property of the Kummer function. This auxiliary result is esta
Externí odkaz:
http://arxiv.org/abs/2004.10697
We consider an option c which is contingent on an underlying (tilde S) that is not a traded asset. This situation typically arises in the context of real options. We investigate the situation when there is a "surrogate" traded asset S whose price pro
Externí odkaz:
http://epub.wu.ac.at/110/1/document.pdf
We study a parsimonious but non-trivial model of the latent limit order book where orders get placed with a fixed displacement from a center price process, i.e.\ some process in-between best bid and best ask, and get executed whenever this center pri
Externí odkaz:
http://arxiv.org/abs/1701.00993
The multivariate version of the Mixed Tempered Stable is proposed. It is a generalization of the Normal Variance Mean Mixtures. Characteristics of this new distribution and its capacity in fitting tails and capturing dependence structure between comp
Externí odkaz:
http://arxiv.org/abs/1609.00926
In this paper we present some results on Geometric Asian option valuation for affine stochastic volatility models with jumps. We shall provide a general framework into which several different valuation problems based on some average process can be ca
Externí odkaz:
http://arxiv.org/abs/1407.2514
Autor:
Hubalek, Friedrich, Kuznetsov, Alexey
Publikováno v:
Electron. Commun. Probab., 16, no. 8, 84-95, 2011
We study the density of the supremum of a strictly stable L\'evy process. We prove that for almost all values of the index $\alpha$ -- except for a dense set of Lebesgue measure zero -- the asymptotic series which were obtained in A. Kuznetsov (2010)
Externí odkaz:
http://arxiv.org/abs/1010.3603
Publikováno v:
Bernoulli 2008, Vol. 14, No. 3, 764-790
We investigate the relation of the semigroup probability density of an infinite activity L\'{e}vy process to the corresponding L\'{e}vy density. For subordinators, we provide three methods to compute the former from the latter. The first method is ba
Externí odkaz:
http://arxiv.org/abs/0811.0678