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The impact of uncertainties on the pricing of contingent claims
pricing contingent claims
2010/10/18
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...
Behavioural and Dynamical Scenarios for Contingent Claims Valuation in Incomplete Markets
Incomplete markets market games risk sharing regret dynamical schemes
2010/10/29
We study the problem of determination of asset prices in an incomplete market proposing three different but related scenarios. One scenario uses a market game approach whereas the other two are based ...