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Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes
Heat Kernel Interest Rate Models Time-Inhomogeneous Markov Processes
2011/1/4
We consider a heat kernel approach for the development of stochastic pricing kernels. The kernels are constructed by positive propagators, which are driven by time-inhomogeneous Markov processes. We m...
Continuously monitored barrier options under Markov processes
Continuously monitored barrier options Markov processes
2010/11/2
In this paper we present an algorithm for pricing barrier options in one-dimensional Markov models. The approach rests on the construction of an approximating continuous-time Markov chain that closely...
Saddlepoint approximations for continuous-time Markov processes
Transition density Infinitesimal generator Characteristic function Closed-form approximation
2014/3/13
This paper proposes saddlepoint expansions as a means to generate closed-form approximations to the transition densities and cumulative distribution functions of Markov processes. This method is appli...