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Portfolio optimization in a defaults model under full/partial information
Optimal investment default time default intensity,filtering dynamic program-ming principle
2010/4/27
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeli...
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 ...