On fluctuations of a multivariate random walk with some applications to stock options trading and hedging.
Jewgeni H. DshalalowAgatha LiewPublished in: Math. Comput. Model. (2006)
Keyphrases
- random walk
- option pricing
- stock price
- financial markets
- stock data
- stock exchange
- trading systems
- stock market
- stock trading
- convertible bonds
- non stationary
- historical data
- directed graph
- financial data
- markov chain
- transaction costs
- exchange rate
- news articles
- link prediction
- markov random walk
- payoff functions
- transition probability matrix
- transition probabilities
- pricing model
- short term
- financial information
- graph laplacian
- flow graph
- hyper graph
- stationary distribution
- multi db