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Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models
2010/10/19
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in...
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models change-point optimal portfolio
2010/4/28
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in ...
Martingale representation for Poisson processes with applications to minimal variance hedging
Martingale representation Poisson processes applications minimal variance hedging
2010/10/18
We consider a Poisson process $\eta$ on a measurable space $(\BY,\mathcal{Y})$ equipped with a partial ordering, assumed to be strict almost everwhwere with respect to the intensity measure $\lambda$...
On the Martingale Property of Certain Local Martingales
Local martingales vs true martingales one-dimensional diffusions separating times
2010/11/1
The stochastic exponential Zt = exp{Mt − M0 − (1/2)hM,Mit} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the ...
Strict Local Martingale Deflators and Pricing American Call-Type Options
Strict local martingales deflators American call options
2010/11/2
We solve the problem of pricing and optimal exercise of American call-type options in markets which do not necessarily admit an equivalent local martingale measure. This resolves an open question prop...