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Basin of Attraction through Invariant Curves and Dominant Functions
(Hindawi, 2015)
We study a second-order difference equation of the form 𝑧ₙ₊₁= 𝑧ₙ𝐹(𝑧ₙ₋₁) + ℎ, where both 𝐹(𝑧) and 𝑧𝐹(𝑧) are decreasing. We consider a set of invariant curves at ℎ = 1 and use it to characterize the behaviour of ...
A Market Efficiency Comparison of Islamic and Non-Islamic Stock Indices
(Taylor & Francis Online, 2015)
This article examines the martingale difference hypothesis (MDH) and the random walk hypothesis (RWH) for nine conventional and nine Islamic stock indices: Asia-Pacific, Canadian, Developed Country, Emerging, European, ...
Can High-Order Convergence of European Option Prices be Achieved with Common CRR-Type Binomial Trees?
(Springer, 2015)
Considering European call options, we prove that CRR-type binomial trees systematically underprice the value of these options, when the spot price is not near the money. However, we show that, with a volatility premium to ...