Displaying similar documents to “Viscosity solutions and American option pricing in a stochastic volatility model of the Ornstein-Uhlenbeck type.”

Kermack-McKendrick epidemic model revisited

Josef Štěpán, Daniel Hlubinka (2007)

Kybernetika

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This paper proposes a stochastic diffusion model for the spread of a susceptible-infective-removed Kermack–McKendric epidemic (M1) in a population which size is a martingale N t that solves the Engelbert–Schmidt stochastic differential equation (). The model is given by the stochastic differential equation (M2) or equivalently by the ordinary differential equation (M3) whose coefficients depend on the size N t . Theorems on a unique strong and weak existence of the solution to (M2) are proved...

Pricing rules under asymmetric information

Shigeyoshi Ogawa, Monique Pontier (2007)

ESAIM: Probability and Statistics

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We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...