visceral-fat
发表于 2025-3-23 10:27:10
,Option Pricing and Hedging Under Regular Lévy Processes of Exponential Type,l type and EMM to data, derive an explicit formula for a locally risk-minimizing hedging ratio and show that it is Hölder continuous for options at the money, at expiry date. We derive pricing formulas for some American and barrier options, show that in some cases the principle of the smooth fit fails, and suggest a substitute for it.
chance
发表于 2025-3-23 13:59:54
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表状态
发表于 2025-3-23 19:57:06
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Expressly
发表于 2025-3-23 22:58:37
Fractional Calculus and Continuous-Time Finance III : the Diffusion Limit,A proper transition to the so-called diffusion or hydrodynamic limit is discussed for continuous time random walks. It turns out that the probability density function for the limit process obeys a fractional diffusion equation. The relevance of these results for financial applications is briefly discussed.
sperse
发表于 2025-3-24 02:49:10
978-3-0348-9506-4Springer Basel AG 2001
折磨
发表于 2025-3-24 10:04:45
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gusher
发表于 2025-3-24 10:46:10
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Cardioplegia
发表于 2025-3-24 15:45:07
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Console
发表于 2025-3-24 22:20:20
On-line portfolio strategy with prediction,w idea of “cross rate” for the sequence of price relative vectors. It is proved that the new portfolio strategy is profitable almost surely under certain mild assumption. The performance of our algorithm is tested on real data from the London Stock Exchange.
EXTOL
发表于 2025-3-25 02:51:28
Optimal default boundary in a discrete time setting,osts and tax benefits, with the condition that the value of equity must be nonnegative. By applying dynamic programming in discrete time, we find results which extends those of Leland (1994) and Leland-Toff (1996).