搜索结果: 1-5 共查到“经济学 Homogeneous”相关记录5条 . 查询时间(0.125 秒)
This paper examines the empirical validity of a model of homogeneous input
demand under price uncertainty in which firms trade off expected input cost
against its variability (risk) in selecting t...
Homogeneous Volatility Bridge Estimators
volatility variance estimators efficiency Wiener processes homoge-neous functions
2010/11/3
We present a theory of homogeneous volatility bridge estimators for log-price stochastic processes. The main tool of our theory is the parsimonious encoding of the information contained in the open, h...
Most Efficient Homogeneous Volatility Estimators
Variance and volatility estimators efficiency homogeneous functions Variance and volatility estimators efficiency homogeneous functions
2010/11/2
We present a new theory of homogeneous volatility (and variance) estimators for arbitrary stochastic processes. The main tool of our theory is the parsimonious encoding of all the information containe...
Recovering a time-homogeneous stock price process from perpetual option prices
time-homogeneous stock price perpetual option prices
2010/10/29
It is well-known how to determine the price of perpetual American options if the underlying stock price is a time-homogeneous diffusion.In the present paper we consider the inverse problem, i.e. given...
Exact Pricing Asymptotics of Investment-Grade Tranches of Synthetic CDO's Part I: A Large Homogeneous Pool
Investment-Grade Tranches Large Homogeneous Pool
2010/10/29
We use the theory of large deviations to study the pricing of investment-grade tranches of
synthetic CDO's. In this paper, we consider a simpli ed model which will allow us to introduce some of the c...