搜索结果: 1-3 共查到“数量经济学 option pricing”相关记录3条 . 查询时间(0.23 秒)
Preliminary remarks on option pricing and dynamic hedging
Quantitative finance option pricing, European option dynamic hedging replication arbitrage time series volatility abrupt changes model-free control nonstandard analysis.
2012/9/14
An elementary arbitrage principle and the existence of trends in financial time series, which is base on a theorem published in 1995 by P. Cartier and Y. Perrin,lead to a new understanding of option p...
Conditional sampling for barrier option pricing under the Heston model
Conditional sampling barrier option pricing Heston model
2012/9/14
We propose a quasi-Monte Carlo algorithm for pricing knock-out and knock-in barrier options under the Heston (1993) stochastic volatility model. This is done by modifying the LT method from Imai and T...
Regime Switching Stochastic Volatility with Perturbation Based Option Pricing
Stochastic volatility option pricing perturbation theory
2010/10/29
Volatility modelling has become a significant area of research within Financial Mathematics. Wiener process driven stochastic volatility models have become popular due their consistency with theoretic...