Equilibrium approach of asset and option pricing under Lévy process and stochastic volatility
S Li, Y Zhou, Y Wu, X Ge - Australian Journal of …, 2017 - journals.sagepub.com
This paper studies the equity premium and option pricing under the general equilibrium
framework taking into account stochastic volatility. We establish analytical expressions for …
framework taking into account stochastic volatility. We establish analytical expressions for …
随机波动率与投资中的q理论
WL HUANG - 数学学报, 2018 - actamath.cjoe.ac.cn
本文将随机波动率引入托宾q 模型, 讨论生产率冲击的波动率大小对公司价值与投资决策的影响.
研究发现, 公司托宾q 值会受到生产率冲击波动率的显著影响, 波动率的增大会降低托宾q 值 …
研究发现, 公司托宾q 值会受到生产率冲击波动率的显著影响, 波动率的增大会降低托宾q 值 …
Stochastic Volatility and the q Theory of Investment
WL HUANG - Acta Mathematica Sinica, Chinese Series, 2018 - actamath.cjoe.ac.cn
We introduce stochastic volatility to Tobin's q theory, in order to find how volatility of
productivity shock affects a firm's value and its investment decision. We show that volatility of …
productivity shock affects a firm's value and its investment decision. We show that volatility of …
[PDF][PDF] Long-term decision making in the presence of financial disasters
I Chondrogiannis - 2017 - core.ac.uk
The research question focuses on three areas. First, what is the most appropriate model and
estimation method for studying portfolio optimisation under tail risk with an aim towards …
estimation method for studying portfolio optimisation under tail risk with an aim towards …
Discrete-time stochastic volatility process in option pricing: a generalisation of the Amin-Ng and the Black-Scholes models
A Pajor - International Journal of Financial Markets and …, 2016 - inderscienceonline.com
Most option pricing formulas are derived in the framework of continuous-time models, but
predominantly they are used in discrete-time models. In this paper, a new discrete-time …
predominantly they are used in discrete-time models. In this paper, a new discrete-time …