Pricing of Securities

Authors and titles for recent submissions

[ total of 6 entries: 1-5 | 6 ]
[ showing 5 entries per page: fewer | more | all ]

[1] arXiv:2405.12768 (cross-list from q-fin.GN) [pdf, other]: Title: Ponzi Funds

Authors: Philippe van der Beck, Jean-Philippe Bouchaud, Dario Villamaina

Comments: 30 Pages, 9 figures, 3 appendices

Subjects: General Finance (q-fin.GN); General Economics (econ.GN); Pricing of Securities (q-fin.PR); Trading and Market Microstructure (q-fin.TR)
[2] arXiv:2405.12479 (cross-list from q-fin.MF) [pdf, ps, other]: Title: Dynamic Asset Pricing in a Unified Bachelier-Black-Scholes-Merton Model

Authors: W. Brent Lindquist, Svetlozar T. Rachev, Jagdish Gnawali, Frank J. Fabozzi

Comments: 29 pages

Subjects: Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR)

[3] arXiv:2405.11329 [pdf, ps, other]: Title: Risk-neutral valuation of options under arithmetic Brownian motions

Authors: Qiang Liu, Yuhan Jiao, Shuxin Guo

Comments: 19 pages, 4 figures

Subjects: Pricing of Securities (q-fin.PR); Mathematical Finance (q-fin.MF); Risk Management (q-fin.RM)

[4] arXiv:2405.07713 [pdf, ps, other]: Title: No-arbitrage conditions and pricing from discrete-time to continuous-time strategies

Authors: Dorsaf Cherif, Emmanuel Lepinette

Journal-ref: Annals of Finance (2023)

Subjects: Pricing of Securities (q-fin.PR); Probability (math.PR)

[5] arXiv:2405.02919 (cross-list from q-fin.MF) [pdf, ps, other]: Title: Hedge Error Analysis In Black Scholes Option Pricing Model: An Asymptotic Approach Towards Finite Difference

Authors: Agni Rakshit, Gautam Bandyopadhyay, Tanujit Chakraborty

Subjects: Mathematical Finance (q-fin.MF); Pricing of Securities (q-fin.PR); Risk Management (q-fin.RM)

[ total of 6 entries: 1-5 | 6 ]
[ showing 5 entries per page: fewer | more | all ]