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Extension theorems for linear operators on $L_\infty$ and application to price systems
linear operators equivalent martingale measures price systems
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2011/3/23
In an $L_\infty$-framework, we present a few extension theorems for linear operators. We focus the attention on majorant preserving and sandwich preserving types of extensions. These results are then ...
Option pricing under Ornstein-Uhlenbeck stochastic volatility: a linear model
Econophysics Stochastic Volatility Monte Carlo Simulation Option Pricing Model Calibration
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2010/11/1
We consider the problem of option pricing under stochastic volatility models, focusing on
the linear approximation of the two processes known as exponential Ornstein-Uhlenbeck
and Stein-Stein.