A Microeconomic Approach to Diffusion Models For Stock Prices
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- 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 Yn+1=AnYn + Bn with stationary coefficients
Cited in
(39)- 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
- Inference in a stationary/nonstationary autoregressive time-varying-parameter model
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