抚慰
发表于 2025-3-27 00:54:52
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HEDGE
发表于 2025-3-27 04:51:01
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画布
发表于 2025-3-27 06:52:42
Notation and Basic Definitionsℕ denotes the nonnegative integers. ℝ denotes the real numbers. ℝ. denotes the nonnegative real numbers. ℝ. denotes the strictly positive real numbers.
anus928
发表于 2025-3-27 11:00:44
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爱社交
发表于 2025-3-27 15:33:46
Scenario-Based Evaluation and UncertaintyThe following problems arise in practice:
Binge-Drinking
发表于 2025-3-27 18:45:03
A Lattice FrameworkNonlinear Black-Scholes models for worst-case scenarios require two kinds of algorithmic techniques:
断言
发表于 2025-3-27 23:09:38
Algorithms for Vanilla OptionsVanilla options are standard European calls and puts on the underlying asset. Before we discuss algorithms for barrier and American options we illustrate uncertain volatility for portfolios of vanilla options with an example.
grieve
发表于 2025-3-28 03:37:50
Algorithms for Barrier OptionsWe consider barrier options that knock out the first time the price .. of the underlying asset crosses a predetermined knock-out barrier .. This is one flavor of barrier options; a timing feature is added in , where options loose a fraction of their value for every day they spend above (or below) ..
Accrue
发表于 2025-3-28 07:11:58
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骚动
发表于 2025-3-28 10:41:36
Exotic Volatility ScenariosIn Chapters 7 and 8, algorithms have been discussed that compute (best) worst-case prices under uncertain volatility scenarios in which ∂(..,.) and ∂..,.) are independent for .. In this chapter we extend the notion of uncertain volatility scenarios to include evolutions of the spot volatility that depend on its past history.