12 citations · 45 across the 49 of their papers we have counts for
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Another Look at the Ho-Lee Bond Option Pricing Model
Young Shin Kim, Stoyan Stoyanov, Svetlozar Rachev +1
In this paper, we extend the classical Ho-Lee binomial term structure model to the case of time-dependent parameters and, as a result, resolve a drawback associated with the model.…
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…
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
Svetlozar Rachev, Stoyan Stoyanov, Stefan Mittnik +2
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as anomalies the theory of rational finance cannot explain: Predi…
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…