搜索结果: 1-6 共查到“exponential Levy models”相关记录6条 . 查询时间(0.093 秒)
Exponential Levy models with stochastic volatility and stochastic jump-intensity
spectral theory normal operator Levy process stochastic volatility stochastic jump-intensity
2012/6/4
We consider the problem of valuing a European option written on an asset whose dynamics are described by an exponential L\'evy-type model. Both the volatility and jump-intensity of the L\'evy process ...
Power Utility Maximization in Discrete-Time and Continuous-Time Exponential Levy Models
utility maximization power utility exponential L´ evy process discretization
2011/3/31
Consider power utility maximization of terminal wealth in a 1-dimensional continuous-time exponential Levy model with finite time horizon.
An $f$-divergence approach for optimal portfolios in exponential Levy models
f-divergence exponential Levy models optimal portfolio
2011/1/21
We present a unified approach to get explicit formulas for utility maximising strategies in Exponential Levy models. This approach is related to f-divergence minimal martingale measures and based on a...
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models
2010/10/19
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in...
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models change-point optimal portfolio
2010/4/28
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in ...
No-Free-Lunch equivalences for exponential Levy models
No-Free-Lunch equivalences exponential Levy models
2010/12/17
We provide equivalence of numerous no-free-lunch type conditions for financial markets where the asset prices are modeled as exponential Levy processes, under possible convex constraints in the use of...