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Extension theorems for linear operators on $L_\infty$ and application to price systems
linear operators equivalent martingale measures price systems
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2011/3/23
In an $L_\infty$-framework, we present a few extension theorems for linear operators. We focus the attention on majorant preserving and sandwich preserving types of extensions. These results are then ...
An Application of Linear Approximation of Almost Ideal Demand System：Data from Erzurum Central District
LA/AIDS food demand analysis elasticity Erzurum
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2009/1/14
In this study, a food demand analysis of Erzurum central district was conducted. This study differs from previous ones by the use of current data and a new model. Various elasticities computed in this...
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Econophysics Stochastic Volatility Monte Carlo Simulation Option Pricing Model Calibration
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2010/11/1
We consider the problem of option pricing under stochastic volatility models, focusing on
the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck
and Stein-Stein.
Reflected backward stochastic differential equations and a class of non linear dynamic pricing rule
stochastic differential equations non linear dynamic pricing rule
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2010/12/13
In that paper, we provide a new characterization of the solutions of specific reflected backward stochastic differential equations (or RBSDEs) whose driver $g$ is convex and has quadratic growth in i...