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Multiplicative noise, fast convolution, and pricing
Computational Finance Stochastic Processes Non-Gaussian Option Pricing Numerical Methods for Option Pricing
2011/7/19
In this work we detail the application of a fast convolution algorithm computing high dimensional integrals to the context of multiplicative noise stochastic processes. The algorithm provides a numeri...
Inf-convolution of g_\Gamma-solution and its applications
CBSDE convex risk measure inf-convolution g -solution optimal investment
2011/3/31
A risk-neutral method is always used to price and hedge contingent claims in complete market, but another method based on utility maximization or risk minimization is wildly used in more general case.
Inf-convolution of G-expectations
inf-convolution G-expectation G-normal distribution GBrownian motion
2010/11/2
In this paper we will discuss the optimal risk transfer problems when risk measures are generated by G-expectations, and we present the relationship between inf-convolution of G-expectations and the i...