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Option pricing in multivariate stochastic volatility models of OU type
multivariate stochastic volatility models Ornstein-Uhlenbeck type processes option pricing
2010/10/18
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still ...
Utility Function and Optimum Consumption in the models with Habit Formation and Catching up with the Joneses
Optimal Consumption Habit Formation Catching up with the oneses
2010/11/2
This paper analyzes popular time-nonseparable utility functions that de-scribe “habit formation” consumer preferences comparing current consumption with the time averaged past consumption of the same ...
Economic Models with Chaotic Money Exchange
Complex Systems Econophysics Gas-like Models Money Dynamics Random and Chaotic numbers Modeling and Simulation
2010/10/29
This paper presents a novel study on gas-like models for economic systems. The interacting agents and the amount of exchanged money at each trade are selected with different levels of randomness, from...