2 papers
q-fin.PR2025
Asset Pricing in the Presence of Market Microstructure Noise
Peter Yegon, W. Brent Lindquist, Svetlozar T. Rachev
We present two models for incorporating the total effect of market microstructure noise into dynamic pricing of assets and European options. The first model is developed under a Bl…
q-fin.GN2023
Exploring Dynamic Asset Pricing within Bachelier Market Model
Nancy Asare Nyarko, Bhathiya Divelgama, Jagdish Gnawali +3
This paper delves into the dynamics of asset pricing within Bachelier market model, elucidating the representation of risky asset price dynamics and the definition of riskless asse…