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Martingale selection problem and asset pricing in finite discrete time
Martingale selection problem asset pricing finite discrete time
2009/3/23
Given a set-valued stochastic process (Vt)t=0,...,T, we say that the martingale selection problem is solvable if there exists an adapted sequence of selectors ξt in Vt, admitting an equivalent marting...
Information-Based Asset Pricing
Asset pricing partial information stochastic volatility correlation dividendgrowth Brownian bridge
2010/4/28
A new framework for asset price dynamics is introduced in which the
concept of noisy information about future cash flows is used to derive the corresponding
price processes. In this framework an ass...