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Asset Price Dynamics with Limited Attention
Transitory Volatility Limited Attention Individuals Market Makers Asset Pricing Financial Markets
2015/4/27
This paper studies the role that limited attention and inefficient risk sharing play in stock price deviations from the efficient prices at horizons from one day to one month. We expand the Due (2010)...
A new look at short-term implied volatility in asset price models with jumps
exponential Levy models Blumenthal-Getoor index short-dated options implied volatility.
2012/9/14
We analyse the behaviour of the implied volatility smile for options close to expiry in the exponential Levy class of asset price models with jumps. We introduce a new renormalisation of the strike v...
A simple model for asset price bubble formation and collapse
simple model asset price bubble formation and collapse
2010/10/21
We consider a simple stochastic differential equation for modeling bubbles in social context. A prime example is bubbles in asset pricing, but similar mechanisms may control a range of social phenome...
On the semimartingale property of discounted asset-price processes
semimartingale property discounted asset-price processes
2010/12/17
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, ...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。