Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Schroeder, Malgorzata"'
In this paper we compare two classical one-factor diffusion models which are used to model the term structure of interest rates. One of them is based on the Wiener-Bachelier process while the second one is based on the Ornstein-Uhlenbeck process. We
Externí odkaz:
http://arxiv.org/abs/0803.4282
Kelly criterion, that maximizes the expectation value of the logarithm of wealth for bookmaker bets, gives an advantage over different class of strategies. We use projective symmetries for a explanation of this fact. Kelly's approach allows for an in
Externí odkaz:
http://arxiv.org/abs/physics/0607166
In this work we propose a option pricing model based on the Ornstein-Uhlenbeck process. It is a new look at the Black-Scholes formula which is based on the quantum game theory. We show the differences between a classical look which is price changing
Externí odkaz:
http://arxiv.org/abs/quant-ph/0510121
Publikováno v:
In Physica A: Statistical Mechanics and its Applications 2006 368(1):176-182
