... 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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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
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.
在无套利假设下,讨论了多叉树模型中鞅测度的构造问题。
This paper discussed the construction of martingale measures in multinomial market model under the hypothesis of no arbitrage opportunity.
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.
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