Searching for authors named "Erhan Bayraktar" – sorted by Relevance.
7 documents found, showing 1 through 7.
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Pricing options on defaultable stocks
- …Pricing Options on Defaultable Stocks ∗† Erhan Bayraktar ‡ Abstract We develop stock option price…
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An Efficient Method for Pricing American Options for Jump Diffusions ∗†
- … Diffusions ∗† Erhan Bayraktar ‡ Hao Xing § Abstract We approximate the price of the American put for jump…
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MULTI-SCALE TIME-CHANGED BIRTH PROCESSES FOR PRICING MULTI-NAME CREDIT DERIVATIVES
- …MULTI-SCALE TIME-CHANGED BIRTH PROCESSES FOR PRICING MULTI-NAME CREDIT DERIVATIVES ERHAN BAYRAKTAR…
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Stochastic differential games in a non-Markovian setting
- … ∗ ERHAN BAYRAKTAR † AND H. VINCENT POOR ‡ Abstract. Stochastic differential games are considered in a non…
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A limit theorem for financial markets with inert investors
- …A Limit Theorem for Financial Markets with Inert Investors Erhan Bayraktar ∗ , Ulrich Horst…
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Adaptive Poisson disorder problem
- …ADAPTIVE POISSON DISORDER PROBLEM ERHAN BAYRAKTAR, SAVAS DAYANIK, AND IOANNIS KARATZAS Abstract…
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Estimating The Fractal Dimension Of The S&P 500 Index Using Wavelet Analysis
- …ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS Erhan Bayraktar ∗ H…
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