4 papers
Business Cycles as Collective Risk Fluctuations
Victor Olkhov
We suggest use continuous numerical risk grades [0,1] of R for a single risk or the unit cube in Rn for n risks as the economic domain. We consider risk ratings of economic agents…
Price, Volatility and the Second-Order Economic Theory
Victor Olkhov
We introduce the price probability measure η(p;t) that defines the mean price p(1;t), mean square price p(2;t), price volatility σp2(t)and all price n-th statistical moments p(n;t)…
Classical Option Pricing and Some Steps Further
Victor Olkhov
This paper considers the asset price p as relations C=pV between the value C and the volume V of the executed transactions and studies the consequences of this definition for the o…
Econophysics of Asset Price, Return and Multiple Expectations
Victor Olkhov
This paper describes asset price and return disturbances as result of relations between transactions and multiple kinds of expectations. We show that disturbances of expectations c…