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A finite-dimensional quantum model for the stock market
econophysics quantum finance finite quantum systems
2012/4/28
We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769]. Our approach is a...
Reflected Backward Stochastic Difference Equations with Finite State and their applications
BSDE RBSDE Comparison Theorem g-martingale
2010/10/18
In this paper, we first establish the reflected backward stochastic difference equations with finite state (FS-RBSDEs for short). Then we explore the Existence and Uniqueness Theorem as well as the Co...
On the Existence of Shadow Prices in Finite Discrete Time
transactions costs portfolio optimization shadow price
2010/11/3
A shadow price is a process eS lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption
in the frictionless market ...
A finite dimensional approximation for pricing moving average options
pricing moving average
2010/12/13
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimension...