A market is fair is that the market exists the equivalent martingale measure.
市场是公平的是指市场存在等价鞅测度。
Then, for a given equivalent martingale measure, the optimal stopping problem of the permanent American option is solved.
本文在一个合适的等价鞅测度下,给出了带有事件风险的永久美式期权的定价及其最优停时。
This paper deals with the minimal entropy martingale measure and utility indifference pricing concerning a stochastic volatility model.
本文研究了随机波动率模型的最小熵鞅测度和效用无差别定价。
In the option pricing with martingale way, the most important aspect is finding the equivalent martingale measure to make the discounted stock price process become martingale.
在期权定价的鞅方法中最重要是找到等价鞅测度,使得贴现的股票价格过程是鞅。
Then by the new rule, a martingale measure was found, and sufficient conditions for the existence of a unique equivalent martingale measure that minimizes the symmetric entropy was given.
利用这一新的准则,确定了鞅测度,提供了存在惟一最小对称熵鞅测度的充分条件。
Using the measure transformation and martingale method, the price of the analytic form is obtained.
利用测度变换和鞅方法,得到了其解析形式的定价公式。
Using the measure transformation and martingale method, the price of the analytic form is obtained.
利用测度变换和鞅方法,得到了其解析形式的定价公式。
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