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Browsing SOB - Scholarly Publications by Author "Harmanani, Haidar M."

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Browsing SOB - Scholarly Publications by Author "Harmanani, Haidar M."

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  • Option pricing during post-crash relaxation times 
    Dibeh, Ghassan; Harmanani, Haidar M. (2017-05-23)
    This paper presents a model for option pricing in markets that experience financial crashes. The stochastic differential equation (SDE) of stock price dynamics is coupled to a post-crash market index. The resultant SDE is ...
  • A Stochastic Chartist–Fundamentalist Model with Time Delays 
    Dibeh, Ghassan; Harmanani, Haidar M. (2016-04-11)
    A stochastic chartist–fundamentalist model of speculative asset dynamics in financial markets is developed. The model is represented by a stochastic delay-differential equation (SDDE). The SDDE is then solved using ...

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