2024/10/29 by Kiarash Firouzi, Firouzi, Kiarash, Mohammad Jelodari Mamaghani +1
Economics, Econometrics and Finance · #Stochastic processes and financial applications #Economic theories and models #Complex Systems and Time Series Analysis
paper · pdf · doi:10.48550/arxiv.2410.22054
Due to the increasing popularity of futures trading among financial market participants, the risk management of these instruments is crucial. In this paper, we introduce a model for estimating the ideal time for leaving a trading position on a stock. Also, using ergodic theorems, we investigate the European call option pricing problem using a stochastic irrational rotation on the unit circle. Utilizing the properties of log-ergodic processes, we use the time average of the stochastic process of risky assets instead of expectations in our calculations.