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The impact of uncertainties on the pricing of contingent claims
Uncertainty Stochastic Differential Equations Dynamic Hedging Er-ror Theoryusing Dirichlet Forms Bias Bid-AskSpread
2010/4/27
We study the effect of parameters uncertainties on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, thanks to Dirichlet Forms methods. We apply recent techni...
The impact of uncertainties on the pricing of contingent claims
pricing contingent claims
2010/10/18
We study the effect of parameters uncertainties on a stochastic diffusion model, in particular the impact on the pricing of contingent claims, thanks to Dirichlet Forms methods. We apply recent techni...
Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
Incomplete markets market games risk sharing regret dynamical schemes
2010/10/29
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based ...
Filtration Consistent Nonlinear Expectations and Evaluations of Contingent Claims
option pricing measure of risk backward stochastic differential equation nonlinear potential theory nonlinear Markov property dynamic programming principle
2007/12/11
We will study the following problem. Let $ X_t, \ t\in[0,T]$, be an ${\pmb R}^d$--valued process defined on a timeinterval $t\in [0,T]$. Let $Y$ be a random value depending on thetrajectory of $X$. As...