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Geometric extension of put-call symmetry in the multiasset setting
Geometric extension symmetry multiasset setting
2010/12/20
In this paper we show how to relate European call and put options on multiple assets to certain convex bodies called lift zonoids. Based on this, geometric properties can be translated into economic ...
The price of bond and European option on bond without credit risk. Classical look and its quantum extension
price bond European option credit risk Classical look quantum extension
2010/12/17
In this paper we compare two classical one-factor diffusion models which are used to model the term structure of interest rates. One of them is based on the Wiener-Bachelier process while the second o...