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。
This paper deals with the minimal entropy martingale measure and utility indifference pricing concerning a stochastic volatility model.
本文引入了基于日内价格幅度与回报两个测度指标的随机波动率模型。
In this paper we propose to a stochastic volatility model based on daily returns and intra-daily high-low price range jointly.
基于不完备的随机波动率模型，本文给出了不同著名鞅测度下定价的大小顺序。
This paper orders option prices under different well known martingale measures in an incomplete stochastic volatility model.
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