5 papers
Enhancing Binomial and Trinomial Equity Option Pricing Models
Yong Shin Kim, Stoyan Stoyanov, Svetlozar Rachev +1
We extend the classical Cox-Ross-Rubinstein binomial model in two ways. We first develop a binomial model with time-dependent parameters that equate all moments of the pricing tree…
Option pricing for Informed Traders
Stoyan V. Stoyanov, Yong Shin Kim, Svetlozar T. Rachev +1
In this paper we extend the theory of option pricing to take into account and explain the empirical evidence for asset prices such as non-Gaussian returns, long-range dependence, v…
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing
Svetlozar Rachev, Stoyan Stoyanov, Frank J. Fabozzi
We derive behavioral finance option pricing formulas consistent with the rational dynamic asset pricing theory. In the existing behavioral finance option pricing formulas, the pric…
Pricing derivatives in Hermite markets
Stoyan V. Stoyanov, Svetlozar T. Rachev, Stefan Mittnik +1
We present a new framework for Hermite fractional financial markets, generalizing the fractional Brownian motion and fractional Rosenblatt markets. Considering pure and mixed Hermi…
-Generalized Hyperbolic Distributions
Lev B. Klebanov, Svetlozar T. Rachev
A new class of probability distributions closely connected to generalized hyperbolic distributions is introduced. It is more adapted to study the distributions of sums of random nu…