12 citations · 45 across the 49 of their papers we have counts for
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Pricing Derivatives in Hermite Markets
Svetlozar T. Rachev, Stefan Mittnik, Frank J. Fabozzi
We introduce Hermite fractional financial markets, where market uncertainties are described by multidimensional Hermite motions. Hermite markets include as particular cases financi…
Financial market with no riskless (safe) asset
Svetlozar Rachev, Frank Fabozzi
We study markets with no riskless (safe) asset. We derive the corresponding Black-Scholes-Merton option pricing equations for markets where there are only risky assets which have t…
Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion
Y. S. Kim, S. Stoyanov, S. Rachev +1
We construct a binomial tree model fitting all moments to the approximated geometric Brownian motion. Our construction generalizes the classical Cox-Ross-Rubinstein, the Jarrow-Rud…
A New Set of Financial Instruments
Abootaleb Shirvani, Stoyan V. Stoyanov, Svetlozar T. Rachev +1
In complete markets, there are risky assets and a riskless asset. It is assumed that the riskless asset and the risky asset are traded continuously in time and that the market is f…