Modeling asset price processes based on mean-field framework.
We propose a model of the dynamics of financial assets based on the mean-field framework. This framework allows us to construct a model which includes the interaction among the financial assets reflecting the market structure. Our study is on the cutting edge in the sense of a microscopic approach to modeling the financial market. To demonstrate the effectiveness of our model concretely, we provide a case study, which is the pricing problem of the European call option with short-time memory noise.
Department of Physics, Faculty of Science, Tokyo Institute of Technology, 2-12-1 Oh-okayama, Meguro-ku, Tokyo 152-8551, Japan. mieda@mikan.ap.titech.ac.jp
Masashi
M
Ieda
Masatoshi
M
Shiino