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Active 3 Bountied Hot Week Month
4 votes
2 answers
207 views

Stochastic process for modelling correlation?

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Daneel Olivaw
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8 votes
4 answers
587 views

American put option. Exercise time is a random variable, calculation of expected payoff

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0 votes
0 answers
42 views

Ito Process: How to calculate expected return?

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3 votes
2 answers
1k views

How to incorporate momentum in Ornstein Uhlenbeck to capture overshooting in financial markets?

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0 votes
1 answer
159 views

Necessary conditions to ensure that stochastic integral is a normal variable

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1 vote
1 answer
89 views

Incomplete market

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Viktor Nilsson
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0 votes
1 answer
376 views

Deriving the stochastic process for a dividend-yielding stock (under Black-Scholes assumptions)

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0 answers
21 views

State space equation of CARMA(p,q) processes

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Valentin
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0 answers
32 views

Heston model using YUIMA package

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Luiz Araújo
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2 votes
0 answers
69 views

Ito formula and confusion with the differential operator $d$

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Jan Stuller
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0 votes
2 answers
1k views

Corwin-Schultz estimator of bid-ask spread

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BhaskarT
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2 votes
5 answers
2k views

How to price an exchange option using B&S framework?

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Zhihao Xu
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1 answer
291 views

Differential product Correlated processes

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66 views

Show discrete market is arbitrage free if and only if there exist no admissible arbitrage portfolios

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