Explore our questions

1 vote
0 answers
24 views

Showing a basic market admits no arbitrage

0 votes
0 answers
47 views

Asset pricing based on stochastic inflation discounting (inflation controlled by stochastic state variable)

1 vote
0 answers
151 views

Prove wealth equation for optimal consumption policy

1 vote
0 answers
37 views

Question about the integrand space of stochastic integral wrt martinagles

1 vote
0 answers
55 views

The continuous-time limit of asset price processes where there is more than one asset

0 votes
1 answer
52 views

Martingale property of the CEV model

8 votes
4 answers
639 views

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

0 votes
0 answers
128 views

Time scale of standard deviation of stochastic asset prices

2 votes
0 answers
49 views

Areas of research in calibration of stochastic volatility models

4 votes
1 answer
193 views

Under which conditions the given random process is martingale and under which submartingale?

3 votes
2 answers
2k views

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

1 vote
0 answers
45 views

Sample Wiener process constrained to open (initial), high (max), low (min), close (final)

4 votes
1 answer
200 views

To estimate the parameters when only the characteristic function is known to us

5 votes
2 answers
891 views

Dynamic Programming: Dynamic Card Game

Browse more Questions