1) Integrable martingale measure
可积鞅测度
2) square integrable martingales
平方可积鞅
1.
In this paper,we prove that if M and N are square integrable martingales,φ and ψare predictable processes, E and E then are the quadratic variation of M, N respectively, and [M,N]=(1/2)([M+N][M]-[N]).
证明了如下结果：设Ｍ，Ｎ为平方可积鞅，φ，ψ为可料过程，且Ｅ分别表示Ｍ，Ｎ的二次变差，Ｒｔ＝［０，ｔ］，［Ｍ，Ｎ］＝（１／２）（［Ｍ＋Ｎ］－［Ｍ］－［Ｎ］）。
3) 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。
4) complex measure
复测度鞅
5) Gauss martingale measure
Gauss鞅测度
6) bimeasures
测度值鞅
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