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STOC
2012
ACM
251views Algorithms» more  STOC 2012»
9 years 3 months ago
Minimax option pricing meets black-scholes in the limit
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...
Jacob Abernethy, Rafael M. Frongillo, Andre Wibiso...
IOR
2011
220views more  IOR 2011»
10 years 8 months ago
Optimal Inventory Policies when Purchase Price and Demand Are Stochastic
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. ...
Peter Berling, Victor Martínez-de-Alb&eacut...
INFORMATICALT
2011
147views more  INFORMATICALT 2011»
10 years 8 months ago
On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractiona
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 ...
Kestutis Kubilius, Dmitrij Melichov
SIAMCO
2002
87views more  SIAMCO 2002»
11 years 1 months ago
Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
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...
Bernt Oksendal, Agnès Sulem
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