搜索结果: 1-3 共查到“经济学 CEV”相关记录3条 . 查询时间(0.048 秒)
On a free boundary problem for an American put option under the CEV process
free boundary problem American option CEV process
2010/10/21
We consider an American put option under the CEV process. This corresponds to a free boundary problem for a PDE. We show that this free bondary satisfies a nonlinear integral equation, and analyze it ...
The Euler-Maruyama approximations for the CEV model
The Euler-Maruyama approximations the CEV model
2010/10/20
The CEV model is given by the stochastic differential equation $X_t=X_0+\int_0^t\mu X_sds+\int_0^t\sigma (X^+_s)^pdW_s$, $\frac{1}{2}\le p<1$. It features a non-Lipschitz diffusion coefficient and ge...
CEV模型的单位根检验研究
2007/8/7
【摘要】CEV模型(Constant Elasticity of Variance Model)作为常用的利率模型，在实证分析中得到了广泛运用，但是其单位根检验一直被忽略或者被默认可以使用迪基 - 富勒检验。本文首次运用Box - Cox变换的技巧，针对CEV模型的单位根检验问题，找到了合适的统计量并且证明其渐进分布存在，然后通过蒙特卡罗方法求出了该统计量的...