Constraint ornstein-uhlenbeck bridges
A Mazzolo - Journal of Mathematical Physics, 2017 - pubs.aip.org
In this paper, we study the Ornstein-Uhlenbeck bridge process (ie, the Ornstein-Uhlenbeck
process conditioned to start and end at fixed points) constraints to have a fixed area under …
process conditioned to start and end at fixed points) constraints to have a fixed area under …
Stock market recovery from the 2008 financial crisis: The differences across Europe
This study investigates the influence of the 2008 financial crisis on a number of European
stock markets. The sample includes EU benchmark indices as well as European markets …
stock markets. The sample includes EU benchmark indices as well as European markets …
Optimal stopping of Gauss-Markov bridges
A Azze, B D'Auria, E García-Portugués - arXiv preprint arXiv:2211.05835, 2022 - arxiv.org
We solve the non-discounted, finite-horizon optimal stopping problem of a Gauss-Markov
bridge by using a time-space transformation approach. The associated optimal stopping …
bridge by using a time-space transformation approach. The associated optimal stopping …
Option pricing under short-lived arbitrage: theory and tests
JE Hilliard, J Hilliard - Quantitative Finance, 2017 - Taylor & Francis
Abstract Models in financial economics derived from no-arbitrage assumptions have found
great favour among theoreticians and practitioners. We develop a model of option prices …
great favour among theoreticians and practitioners. We develop a model of option prices …