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Semi-Closed Form Cubature and Applications to Financial Diffusion Models
Semi-Closed Cubature Applications Financial Diffusion Models
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2010/10/21
Cubature methods, a powerful alternative to Monte Carlo due to Kusuoka~[Adv.~Math.~Econ.~6, 69--83, 2004] and Lyons--Victoir~[Proc.~R.~Soc.\\Lond.~Ser.~A 460, 169--198, 2004], involve the solution to...
On a class of semi-elliptic diffusion models. Part I: a constructive analytical approach for global existence, densities, and numerical schemes
Degenerate parabolic equations financial derivatives
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2010/10/18
Semi-elliptic stochastic differential equations (SDEs) are common models among practitioners. However, value functions and sensitivities of such models are described by degenerate parabolic partial d...
Mirror-time diffusion discount model of options pricing
discount model options pricing
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2010/12/13
The proposed model modifies option pricing formulas for the basic case of log-normal probability distribution providing correspondence to formulated criteria of efficiency and completeness. The model ...