...生证券(path-dependent derivative security) 等价鞅测度: 风险中性估值方法可看作是等价鞅测度(equivalent martingale measure)的应用,鞅(martingale)是零漂移随机过程。 估计风险的市场价格 期货价格可提供一个变量在风险中性世界中所遵循过程的直接信息。
基于38个网页-相关网页
In Chapter 4, we first give a characterization of all structure-preserving equivalent martingale measure, under which the Markov-modulated Brownian motion remains a Markov-modulated Brownian motion but with changed parameters.
在第4章中,我们首次明确给出马氏调节布朗运动在等价鞅测度变换下二者参数之间的关系式。
参考来源 - 马氏调节过程在保险与金融中的应用·2,447,543篇论文数据,部分数据来源于NoteExpress
市场是公平的是指市场存在等价鞅测度。
A market is fair is that the market exists the equivalent martingale measure.
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。
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.
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。
Then, for a given equivalent martingale measure, the optimal stopping problem of the permanent American option is solved.
应用推荐