A model for stock price fluctuations based on information

DOI10.1109/TIT.2002.1003827zbMATH Open1061.91032OpenAlexW2040843824MaRDI QIDQ4674512FDOQ4674512

Authors: Larry Shepp 

Publication date: 11 May 2005

Published in: IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/tit.2002.1003827

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Mathematics Subject Classification ID

Information theory (general) (94A15)

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• An information-based model of target stock price runup in the market for corporate control
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• Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation
• Difference equations with random delay
• Optimal buying at the global minimum in a regime switching model
• Real options approach for fashionable and perishable products using stock loan with regime switching
• Quantile hedging for guaranteed minimum death benefits with regime switching

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