TY - JOUR
T1 - Modeling asset price processes based on mean-field framework
AU - Ieda, Masashi
AU - Shiino, Masatoshi
PY - 2011/12/8
Y1 - 2011/12/8
N2 - We propose a model of the dynamics of financial assets based on the mean-field framework. This framework allows us to construct a model which includes the interaction among the financial assets reflecting the market structure. Our study is on the cutting edge in the sense of a microscopic approach to modeling the financial market. To demonstrate the effectiveness of our model concretely, we provide a case study, which is the pricing problem of the European call option with short-time memory noise.
AB - We propose a model of the dynamics of financial assets based on the mean-field framework. This framework allows us to construct a model which includes the interaction among the financial assets reflecting the market structure. Our study is on the cutting edge in the sense of a microscopic approach to modeling the financial market. To demonstrate the effectiveness of our model concretely, we provide a case study, which is the pricing problem of the European call option with short-time memory noise.
UR - http://www.scopus.com/inward/record.url?scp=84555195674&partnerID=8YFLogxK
U2 - 10.1103/PhysRevE.84.066105
DO - 10.1103/PhysRevE.84.066105
M3 - Article
C2 - 22304153
AN - SCOPUS:84555195674
SN - 1539-3755
VL - 84
JO - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
JF - Physical Review E - Statistical, Nonlinear, and Soft Matter Physics
IS - 6
M1 - 066105
ER -