... 1.2.4风险中性概率测度 风险中性概率测度 风险中性概率测度(Risk—neutralmeasure)有时又称为鞅测度(Martingale Measure),是一种使得所有资产价值贴现过程为鞅过程的概率测度。
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equivalent martingale measure 等价鞅测度 ; 测度
minimal martingale measure 极小鞅测度
variance-optimal martingale measure 方差最优鞅测度
Gauss martingale measure Gauss鞅测度
forward martingale measure 向前鞅测度
integrable martingale measure 可积鞅测度
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。
参考来源 - 随机波动率模型的最小熵鞅测度和效用无差别定价·2,447,543篇论文数据,部分数据来源于NoteExpress
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。
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