2 citations · 2 across the 3 of their papers we have counts for
3 papers
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…
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…
Bachelier's Market Model for ESG Asset Pricing
Svetlozar Rachev, Nancy Asare Nyarko, Blessing Omotade +1
Environmental, Social, and Governance (ESG) finance is a cornerstone of modern finance and investment, as it changes the classical return-risk view of investment by incorporating a…