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Construction of the minimal entropy martingale measure in finite probability market models
Relative entropy Minimal entropy martingale measure
2010/9/13
The principle of minimization of relative entropy is used to construct a minimal entropy martingale measure for a finite probability/multiperiod market model.
The martingale approach for credit-risky exchange option pricing
Exchange option Girsanov’s theorem
2010/9/10
An exchange option allows its holder to exchange one asset for another at maturity. In this short paper, the martingale approach, which is based on Continuous martingale representation theorem and Gir...
Valuation of real options using the minimal entropy martingale measure
Real Options Analysis Minimal Entropy Martingale Measure
2010/9/14
In this article, the problem of real options valuation in multinomial trees is investigated. A concrete single real options value based on the minimal entropy martingale measure is provided. Using the...
A Note on the Martingale Inequality
Bounded Martingale Deviation bound Hoeffding inequality Martingale inequality
2008/7/3
In this paper, we will establish a martingale inequality, which extends the classic Hoeffding inequality in some sense. In addition, our inequality improves the results of Lee and Su [7] (2002) in som...
Strong Approximations of Martingale Vectors and Their Applications in
Martingale Non-homogenous Markov chain Wiener processes strong approximation adaptive designs asymptotic properties
2007/12/11
The strong approximations of a class of $\BbbR^d$-valued martingales are considered. The conditions used inthis paper are easier to check than those used in [3] and [9]. Asan application, the strong...
Minimal Martingale Measures for Discrete-time Incomplete Financial Markets
Minimal martingale measures incomplete financial markets
2007/12/11
In this note, we give a characterization of the minimal martingale measure for a general discrete-time incomplete financial market. Then we concretely work out the minimal martingale measure for a spe...