STOC
2012
ACM
12 years 1 months ago
2012
ACM
Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset’s future market price. In short, an option has...
IOR
2011
13 years 6 months ago
2011
In this paper we consider the problem of a firm that faces a stochastic (Poisson) demand and must replenish from a market in which prices fluctuate, such as a commodity market. ...
INFORMATICALT
2011
13 years 6 months ago
2011
This paper presents a study of the Hurst index estimation in the case of fractional Ornstein–Uhlenbeck and geometric Brownian motion models. The performance of the estimators is ...
SIAMCO
2002
13 years 11 months ago
2002
We consider a market model with one riskfree and one risky asset, in which the dynamics of the risky asset is governed by a geometric Brownian motion. In this market we consider a...