1) the minimal martingale measure
极小鞅测度
1.
Using the dynamic programming approach,the minimal entropy martingale measure is constructed by the utility indifference pricing,the minimal martingale measure and the variance-optimal martingale measures are given.
利用动态规划方法通过效用无差别定价构造了最小熵鞅测度,并给出了极小鞅测度和方差最优鞅测度,验证了这些鞅测度是不同的。
2.
The explicit expressions of some special equivalent martingale measure are given,such as the minimal entropy martingale measure,the minimal reverse relative entropy martingale measure,the variance-optimal martingale measure and the minimal martingale measure.
本文研究了三叉树模型下的等价鞅测度刻划问题,得到了三叉树模型的最小熵鞅测度,逆相对熵鞅测度,方差最优鞅测度和极小鞅测度的精确表达式。
2) minimal martingale measure
最小鞅测度
1.
We give the minimal martingale measure under this model and consider the hedging problem of the unit-linked life insurance contract under local risk minimization.
单位联系保险合约的偿付额与金融市场中某特定股票的价格有关,我们考虑一同时描述金融市场和保险群体不确定性的模型,其不完全性来源于股价的混合扩散和保险个体的死亡,我们给出该模型下的最小鞅测度并在局部风险最小准则下考查单位联系寿险合约的套期保值问题。
2.
The exact expressions of minimal martingale measure and the minimal entropy martingale measure for jump diffusion semimartingale are gained,with the specific changes of intensity and density function processes in these measures.
在跳扩散半鞅模型中,引进了跳的强度过程与跳的概率密度函数过程,研究了测度变换对跳的强度与密度函数过程引起的变化、研究了跳扩散半鞅的最小鞅测度与最小熵鞅测度。
3) the minimal entropy martingale measure
最小熵鞅测度
1.
In this paper,we study the minimal entropy martingale measure of Brown motion with jump.
主要研究带跳Brown运动的最小熵鞅测度。
2.
Using the dynamic programming approach,the minimal entropy martingale measure is constructed by the utility indifference pricing,the minimal martingale measure and the variance-optimal martingale measures are given.
利用动态规划方法通过效用无差别定价构造了最小熵鞅测度,并给出了极小鞅测度和方差最优鞅测度,验证了这些鞅测度是不同的。
3.
The explicit expressions of some special equivalent martingale measure are given,such as the minimal entropy martingale measure,the minimal reverse relative entropy martingale measure,the variance-optimal martingale measure and the minimal martingale measure.
本文研究了三叉树模型下的等价鞅测度刻划问题,得到了三叉树模型的最小熵鞅测度,逆相对熵鞅测度,方差最优鞅测度和极小鞅测度的精确表达式。
4) minimal signed martingale measure
最小广义鞅测度
5) minimal entropy martingale measure (MEMM)
最小熵鞅测度(MEMM)
6) martingale measure
鞅测度
1.
In this paper, based on the signaling approach by Cathcart and El-Jahel, we developed a continuous and reduced-form model for the pricing of the defaultable bond, which has a signaling variable in the market and also a stochastic recovery rate f(δt), then, a approximate formula was given by martingale measure approach.
在Cathcart and El-Jahel(1998)的Signaling方法的基础上,本文发展了一个具有市场信号变量δt以及随机回收率f(δt)的可违约债券定价的连续时间简化型模型,并用鞅测度的方法给出了近似求解公式。
2.
This paper discussed the construction of martingale measures in multinomial market model under the hypothesis of no arbitrage opportunity.
在无套利假设下,讨论了多叉树模型中鞅测度的构造问题。
补充资料：鞅鞅不乐
1.因不满意而很不快乐。鞅，通"怏"。
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条