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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...
On the Second-Order Contingent Set and Differential Inclusions
Continuous multifunctions compact multifunctions contingent cone second-order contingent set
2009/1/13
In this paper, we establish the existence of solutions of a nonconvex second order differential inclusion of the following type:
\stackrel{..}{x}(t)\in F(x(t), \stackrel{.}{x}(t)) \text{ a.e, } x(0)...
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...