A Microeconomic Approach to Diffusion Models For Stock Prices

DOI10.1111/j.1467-9965.1993.tb00035.xzbMath0884.90027OpenAlexW2129098923MaRDI QIDQ4371997

Hans Föllmer, Martin Schweizer

Publication date: 21 January 1998

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00035.x

zbMATH Keywords

Ornstein-Uhlenbeck processinvariance principlerandom environmentdiffusion modelscontinuous-time modelinvariant distributionnoise tradersdiscrete-time processesstock price modelsinformation traders

Mathematics Subject Classification ID

Related Items (34)

From quantum mechanics to finance: microfoundations for jumps, spikes and high volatility phases in diffusion price processes ⋮ General Black-Scholes models accounting for increased market volatility from hedging strategies ⋮ AN EQUILIBRIUM-BASED MODEL OF STOCK-PINNING ⋮ Diffusion approximation of recurrent schemes for financial markets, with application to the Ornstein-Uhlenbeck process ⋮ Probabilistic aspects of finance ⋮ Microfoundations for diffusion price processes ⋮ Limits of Limit-Order Books ⋮ Market Influence of Portfolio Optimizers ⋮ Conditional distributions, exchangeable particle systems, and stochastic partial differential equations ⋮ QUEUING, SOCIAL INTERACTIONS, AND THE MICROSTRUCTURE OF FINANCIAL MARKETS ⋮ Bubbles and crashes in a Black-Scholes model with delay ⋮ Unnamed Item ⋮ Stochastic local and moderate departures from a unit root and its application to unit root testing ⋮ Stochastic differential equations driven by additive Volterra-Lévy and Volterra-Gaussian noises ⋮ Semiparametric diffusion estimation and application to a stock market index ⋮ Asset allocation and liquidity breakdowns: what if your broker does not answer the phone? ⋮ INFORMED OPPORTUNISTIC TRADING AND PRICE OPTIMAL CONTROL ⋮ Random coefficient continuous systems: testing for extreme sample path behavior ⋮ On non-ergodic asset prices ⋮ Delta hedging strategies comparison ⋮ MARKET POWER AND FEEDBACK EFFECTS FROM HEDGING DERIVATIVES ⋮ ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC ⋮ The self-financing equation in limit order book markets ⋮ Equilibria in financial markets with heterogeneous agents: a probabilistic perspective ⋮ Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time ⋮ A DIFFUSION MODEL FOR ELECTRICITY PRICES ⋮ Stock market dynamics created by interacting agents ⋮ Hybrid stochastic local unit roots ⋮ Stability of linear stochastic difference equations in strategically controlled random environments ⋮ STABILITY ANALYSIS WITH APPLICATIONS OF A TWO-DIMENSIONAL DYNAMICAL SYSTEM ARISING FROM A STOCHASTIC MODEL FOR AN ASSET MARKET ⋮ Broken detailed balance and non-equilibrium dynamics in noisy social learning models ⋮ Calibration of a nonlinear feedback option pricing model ⋮ The microstructure of stochastic volatility models with self-exciting jump dynamics ⋮ Understanding temporal aggregation effects on kurtosis in financial indices

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Stability of strong solutions of stochastic differential equations
• Random economies with many interacting agents
• ARCH models as diffusion approximations
• The stochastic equation Y_n+1=A_nY_n + B_n with stationary coefficients
• A new class of markov processes for image encoding
• Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
• On the Possibility of Speculation under Rational Expectations

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