What are the underlying assumptions of the Black-Scholes model?

The dynamic features are governed by the information flow, modeled as a stochastic volatility process, and generalize standard ARCH specifications. This paper studies the existence of expectations equilibria for message processes on stochastic exchange environments. A message process which permits the ... ... stochastic time series. We dissect the uncertainty of a single observation ... process's internal information dynamics. The measures scale with the ... Apr 4, 2006 ... The dynamic features are governed by the information flow, modeled as a stochastic volatility process, and generalize standard ARCH ... Feb 20, 2007 ... Efficient tools to characterize stochastic processes are discussed. Quantifiers originally proposed within the framework of information ... Jan 20, 2022 ... ... stochastic processes, and information dynamics approaches. Our analysis revealed novel relationships between these metrics, which allowed us ... While classical state-space reconstruction won't work on stochastic processes, such processes do have state-space representations [11], and, in the special ... We explore the effect on investment quantity in this real option regulation under various assumptions on the stochastic process for revenues. On the one ... Jun 6, 2018 ... Biological systems can share and collectively process information to yield emergent effects, despite inherent noise in communication. While ... Stationary quantum information sources emit sequences of correlated qudits—that is, structured quantum stochastic processes.