论文信息 - A model for stock price fluctuations based on information

A model for stock price fluctuations based on information

The author presents a new model for stock price fluctuations based on a concept of "information." In contrast, the usual Black-Scholes-Merton-Samuelson (1965, 1973) model is based on the explicit assumption that information is uniformly held by everyone and plays no role in stock prices. The new model is based on the evident nonuniformity of information in the market and the evident time delay until new information becomes generally known. A second contribution of the paper is to present some problems with explicit solutions which are of value in obtaining insights. Several problems of mathematical interest are compared in order to better understand which optimal stopping problems have explicit solutions.

Lawrence A. Shepp | L. Shepp

[1] H. Witsenhausen,et al. Some solvable stochastic control problemst , 1980 .

[2] L. Shepp. Explicit Solutions to Some Problems of Optimal Stopping , 1969 .

[3] Larry A Shepp,et al. A New Look at Pricing of the ”Russian Option“ , 1995 .

[4] Larry A Shepp,et al. The Russian Option: Reduced Regret , 1993 .

[5] G. Peskir. Optimal Stopping of the Maximum Process : The Maximality Principle G , 2011 .

[6] Xin Guo,et al. Information and option pricings , 2001 .

[7] A Dual Russian Option for Selling ShortL , 1993 .

[8] C. SIAMJ.,et al. INFINITE-DIMENSIONAL LINEAR PROGRAMMING APPROACH TO SINGULAR STOCHASTIC CONTROL , 1997 .

[9] L. Bachelier,et al. Théorie de la spéculation , 1900 .

[10] Xin Guo,et al. INSIDE INFORMATION AND STOCK FLUCTUATIONS , 1999 .

[11] P. Samuelson. Mathematics of Speculative Price , 1973 .

[12] L. Gulko. THE ENTROPY THEORY OF BOND OPTION PRICING , 1999 .

[13] Michael I. Taksar,et al. Infinite-Dimensional Linear Programming Approach to SingularStochastic Control , 1997 .