5 citations · 7 across the 4 of their papers we have counts for
4 papers
Option pricing under stochastic volatility: the exponential Ornstein-Uhlenbeck model
Josep Perello, Ronnie Sircar, Jaume Masoliver
We study the pricing problem for a European call option when the volatility of the underlying asset is random and follows the exponential Ornstein-Uhlenbeck model. The random diffu…
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis
Erhan Bayraktar, H. Vincent Poor, Ronnie Sircar
S&P 500 index data sampled at one-minute intervals over the course of 11.5 years (January 1989- May 2000) is analyzed, and in particular the Hurst parameter over segments of statio…
Queueing Theoretic Approaches to Financial Price Fluctuations
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants,…
A Limit Theorem for Financial Markets with Inert Investors
Erhan Bayraktar, Ulrich Horst, Ronnie Sircar
We study the effect of investor inertia on stock price fluctuations with a market microstructure model comprising many small investors who are inactive most of the time. It turns o…