A Microeconomic Approach to Diffusion Models For Stock Prices

DOI10.1111/J.1467-9965.1993.TB00035.XMaRDI QIDQ4371997zbMATH OpenOpenAlexFDO

Authors Hans Föllmer, Martin Schweizer

Publication date 21 January 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00035.x

zbMATH Keywords

Ornstein-Uhlenbeck processcontinuous-time modelrandom environmentinvariance principlediffusion modelsinvariant distributionnoise tradersdiscrete-time processesstock price modelsinformation traders

Mathematics Subject Classification ID

Economic growth models (91B62)

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Cites work

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• A new class of markov processes for image encoding
• ARCH models as diffusion approximations
• On the Possibility of Speculation under Rational Expectations
• Random economies with many interacting agents
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
• Stability of strong solutions of stochastic differential equations
• The pricing of options and corporate liabilities
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients

Cited in

(38)

• A Diffusion Model for Growth Stocks
• Calibration of a nonlinear feedback option pricing model
• STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET
• A DIFFUSION MODEL FOR ELECTRICITY PRICES
• Market Influence of Portfolio Optimizers
• General Black-Scholes models accounting for increased market volatility from hedging strategies
• INFORMED OPPORTUNISTIC TRADING AND PRICE OPTIMAL CONTROL
• The self-financing equation in limit order book markets
• QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
• Random coefficient continuous systems: testing for extreme sample path behavior
• Understanding temporal aggregation effects on kurtosis in financial indices
• On the measurement of random behaviour of stock price changes
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Limits of Limit-Order Books
• Stochastic local and moderate departures from a unit root and its application to unit root testing
• From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes
• Hybrid stochastic local unit roots
• Prediction of electricity prices for non-regulated markets based on a power transformed mean reverting process
• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
• Microfoundations for diffusion price processes
• Stock market dynamics created by interacting agents
• Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process
• Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
• Stability of linear stochastic difference equations in strategically controlled random environments
• Delta hedging strategies comparison
• Equilibria in financial markets with heterogeneous agents: a probabilistic perspective
• AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING
• Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises
• Bubbles and crashes in a Black-Scholes model with delay
• Semiparametric diffusion estimation and application to a stock market index
• On non-ergodic asset prices
• The microstructure of stochastic volatility models with self-exciting jump dynamics
• Broken detailed balance and non-equilibrium dynamics in noisy social learning models
• Application of a method of cluster expansion to security price process
• On some option pricing models on illiquid markets
• Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
• Probabilistic aspects of finance
• MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES

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