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Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox
Risk neutral martingale derivatives efficient market bubble
2011/7/4
This paper highlights the role of risk neutral investors in generating endogenous bubbles
in derivatives markets.We propose the following theorem. A market for derivatives, which has all the
feature...
An Efficient, Distributable, Risk Neutral Framework for CVA Calculation
An Efficient Distributable Risk CVA Calculation
2010/10/22
The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit value adjustment (CVA) is ess...
Quantum Portfolios of Observables and the Risk Neutral Valuation Model
Quantum Portfolios Observables Neutral Valuation Model
2010/10/19
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral...
Quantum Portfolios of Observables and the Risk Neutral Valuation Model
Quantum Portfolios Observables Risk Neutral Valuation Model
2010/4/27
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral...
Revealing the implied risk-neutral MGF from options: The wavelet method
Waveletanalysis Option pricing Laplace transform
2011/4/2
Options are believed to contain unique information on the risk-neutral moment generating function(MGF) or the risk-neutral probability density function(PDF) of the underlying asset. This paper applies...
Risk-Neutral Pricing of Financial Instruments in Emission Markets
Risk-Neutral Pricing Financial Instruments Emission Markets
2010/12/13
We present a novel approach to the pricing of financial instruments in emission markets, for example, the EU ETS. The proposed hybrid model is positioned between existing complex full equilibrium mode...
Risk-neutral and Physical Jumps in Option Pricing
Option Pricing price dynamics physical jumps
2011/4/6
When jumps are present in the price dynamics of the underlying asset, the market is no longer complete, and a more general pricing framework than the risk-neutral valuation is needed. Using Monte Carl...
Revealing the Implied Risk-neutral MGF with the Wavelet Method
Implied risk-neutral MGF wavelets options Black-Scholes model
2011/4/6
Options are believed to contain unique information about the risk- neutral moment generating function (MGF hereafter) or the risk-neutral probability density function (PDF hereafter). This paper appli...