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BSDEs with time-delayed generators of a moving average type with applications to pricing and utilities
backward stochastic differential equations time-delayed
2010/10/21
In this paper we consider backward stochastic differential equations with time-delayed generators of a moving average type. The classical and well-known framework with linear generators depending on $...
Error bounds for small jumps of Lévy processes and financial applications
Approximation of small jumps L´ evy processes Skorokhod embedding
2010/10/21
The pricing of exotic options in exponential L\'evy models amounts to the computation of expectations of functionals of the whole path of a L\'evy process. In many situations, Monte-Carlo methods are ...