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Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/10/19
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
Illiquidity Effects in Optimal Consumption-Investment Problems
Illiquidity Effects Optimal Consumption-Investment
2010/4/28
We study the effect of liquidity freezes on an economic agent optimizing her utility of consumption in a perturbed Black-Scholes-Merton model. The single risky asset follows a geometric Brownian motio...
On the uniqueness of classical solutions of Cauchy problems
Cauchy problem a necessary and sufficient condition for unique-ness European call-type options Strict local martingales
2010/11/2
Given that the terminal condition is of at most linear growth, it is well known that a Cauchy problem admits a unique classical solution when the coefficient multiplying the second
derivative is also...