| Log-ergodicity: A New Concept for Modeling Financial Markets |
| کد مقاله : 1014-FEMATH8 |
| نویسندگان |
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کیارش فیروزی *1، محمد جلوداری ممقانی2 1دانشجوی دکتری ریاضی - دانشگاه علامه طباطبایی 2هیئت علمی دانشگاه علامه طباطبایی |
| چکیده مقاله |
| Although financial models violate ergodicity in general, observing the ergodic behavior in the markets is not rare. Policymakers and market participants control the market behavior in critical and emergency states, which leads to some degree of ergodicity as their actions are intentional. In this paper, we define a parametric operator that acts on the space of positive stochastic processes, transforming a class of positive stochastic processes into mean-ergodic processes. With this mechanism, we extract the data regarding the ergodic behavior hidden in the financial model, apply it to mathematical finance, and establish a novel method for pricing contingent claims. We provide some examples to demonstrate the efficacy of this new approach. |
| کلیدواژه ها |
| Ergodic maker operator, Log-ergodic process, Mean-ergodic, Partially ergodic, Time-average |
| وضعیت: پذیرفته شده برای ارائه شفاهی |
