A Microeconomic Approach to Diffusion Models For Stock Prices

DOI10.1111/J.1467-9965.1993.TB00035.XzbMATH Open0884.90027OpenAlexW2129098923MaRDI QIDQ4371997FDOQ4371997

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

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Mathematics Subject Classification ID

Economic growth models (91B62)

Cites Work

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

Cited In (37)

Calibration of a nonlinear feedback option pricing model
A DIFFUSION MODEL FOR ELECTRICITY PRICES
STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET
General Black-Scholes models accounting for increased market volatility from hedging strategies
Market Influence of Portfolio Optimizers
INFORMED OPPORTUNISTIC TRADING AND PRICE OPTIMAL CONTROL
QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS
The self-financing equation in limit order book markets
Limits of Limit-Order Books
Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
Random coefficient continuous systems: testing for extreme sample path behavior
On the measurement of random behaviour of stock price changes
Stochastic local and moderate departures from a unit root and its application to unit root testing
Understanding temporal aggregation effects on kurtosis in financial indices
Prediction of electricity prices for non-regulated markets based on a power transformed mean reverting process
From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes
Hybrid stochastic local unit roots
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
Title not available (Why is that?)
Stability of linear stochastic difference equations in strategically controlled random environments
Conditional distributions, exchangeable particle systems, and stochastic partial differential equations
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
Semiparametric diffusion estimation and application to a stock market index
Bubbles and crashes in a Black-Scholes model with delay
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
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
A Diffusion Model for Growth Stocks

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