FER
发表于 2025-3-27 00:58:07
Stochastic Interest Models,s can be incorporated into a pricing formula for European-style stock options. To this end, we focus on only three typical one-factor short rate models, namely, the Vasicek model (1977), the CIR model (1985) and the Longstaff model (1989), which are again specified by a mean-reverting Ornstein-Uhlen
宫殿般
发表于 2025-3-27 04:37:26
Poisson Jumps,a based on a stock price process generated by a mixture of a Brownian motion and a Poisson process. This mixed process is also called the jump-diffusion process. The requirement for a jump component in a stock price process is intuitive, and supported by the big crashes in stock markets: The Black M
jealousy
发表于 2025-3-27 07:46:58
,Lévy Jumps, be regarded as two special cases of Lévy process, and have only finite activity in a finite time interval. In this chapter, we only consider Lévy processes with infinity activity in a finite time interval. With respect to jump event modeling in finance, compound Poisson jumps discussed in Chapter 7
nonplus
发表于 2025-3-27 12:16:11
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我说不重要
发表于 2025-3-27 17:09:37
Exotic Options with Stochastic Volatilities,., path-dependent options). There is a long list of financial derivatives belonging to this class: barrier options, Asian options, correlation options, spread options, exchange options, clique options etc. Most of them are generated in the course of the expansion of the financial derivative business
osculate
发表于 2025-3-27 21:39:25
Libor Market Model with Stochastic Volatilities,icing model for interest rate derivatives. Since LMM is based on a series of lognormal dynamics, the methods for building up the smile models, particularly with stochastic volatilities, can be adopted from the previous chapters. After a brief introduction to interest derivative markets in Section 11
Alcove
发表于 2025-3-28 01:12:48
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增减字母法
发表于 2025-3-28 04:13:27
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外形
发表于 2025-3-28 09:03:58
Jesper Larsson Träff,Robert A. vande Geijnrate modeling are two ideal candidate processes for stochastic volatilities. Heston (1993) specified stochastic variances with a mean-reverting square root process and derived a pioneering pricing formula for options by using CFs. Stochastic volatility model with a mean-reverting Ornstein-Uhlenbeck
显微镜
发表于 2025-3-28 11:48:21
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