搜索结果: 61-66 共查到“应用经济学 Pricing”相关记录66条 . 查询时间(0.109 秒)
Risk-neutral and Physical Jumps in Option Pricing
Option Pricing price dynamics physical jumps
2011/4/6
When jumps are present in the price dynamics of the underlying asset, the market is no longer complete, and a more general pricing framework than the risk-neutral valuation is needed. Using Monte Carl...
When Effort Rimes with Advantageous Selection: A New Approach to Life Insurance Pricing
advantageous selection precautionary effort
2010/12/7
This paper investigates the demand for and pricing of life insurance when insureds’ risk aversion is correlated with their precautionary effort. We assume that the population is divided into two group...
The Trader's Dilemma: Trading Strategies and Endogenous Pricing in an Illiquid Market
Trading Strategies Endogenous Pricing an Illiquid Market
2010/7/2
We investigate a large trader's trading strategies in a decentralized market, in which all traders are subject to type switching. This trader has pressure to liquidate her position by the end of the h...
Benchmarking and Fair Pricing Applied to Two Market Models
growth optimal portfolio benchmark approach fair pricing
2010/12/7
This paper considers a market containing both continuous and discrete noise. Modest assumptions ensure the existence of a growth optimal portfolio. Non-negative self-financing trading strategies, when...
Pricing Path-Dependent Options with Jump Risk via Laplace Transforms
jump diffusion American options barrier and lookback options
2010/12/7
We present analytical solutions for two-dimensional Laplace transforms of barrier option prices, as well as an approximation based on Laplace transforms for the prices of finite-time horizon American ...
On the Pricing of Corporate Value under Information Asymmetry
option pricing principal-agent conflicts information asymmetries
2010/12/7
This paper examines the corporate value of a decentralized firm in the presence of principal-agent conflicts due to information asymmetries. When owners delegate the management to managers, contracts ...