排序方式: 共有4条查询结果,搜索用时 15 毫秒
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假设利率服从扩展的Vasicek模型,标的资产价格服从分数跳-扩散过程,利用无套利理论与多元正态分布,导出了规定时间的重置期权的定价公式. 相似文献
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用保险精算法,在标的资产价格服从分数跳-扩散过程,且风险利率、波动率和期望收益率为时间的非随机函数的情况下,给出了欧式复合期权的定价公式.结果推广了Gukhal以及Li等关于传统跳-扩散模型下的欧式复合期权的定价公式. 相似文献
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分数跳-扩散模型下的互换期权定价 总被引:1,自引:0,他引:1
用保险精算法,在标的资产价格服从分数跳-扩散过程,且风险利率、波动率和期望收益率为时间的非随机函数的情况下,给出了一类多资产期权——欧式交换期权的定价公式.该公式是标准跳扩散模型下的欧式期权及欧式交换期权定价公式的推广. 相似文献
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Vassili N. Kolokoltsov 《Journal of statistical physics》2007,126(3):585-642
Semigroups of positivity preserving linear operators on measures of a measurable space X describe the evolutions of probability distributions of Markov processes on X. Their dual semigroups of positivity preserving linear operators on the space of measurable bounded functions B(X) on X describe the evolutions of averages over the trajectories of these Markov processes. In this paper we introduce and study
the general class of semigroups of non-linear positivity preserving transformations on measures that is non-linear Markov
or Feller semigroups. An explicit structure of generators of such groups is given in case when X is the Euclidean space R
d
(or more generally, a manifold) showing how these semigroups arise from the general kinetic equations of statistical mechanics
and evolutionary biology that describe the dynamic law of large numbers for Markov models of interacting particles. Well posedness
results for these equations are given together with applications to interacting particles: dynamic law of large numbers and
central limit theorem, the latter being new already for the standard coagulation-fragmentation models. 相似文献
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