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Small-Time Asymptotics of Option Prices and First Absolute Moments
option price absolute moment small-time asymptotics approximation
2010/10/20
We study the leading term in the small-time asymptotics of at-the-money call option prices when the stock price process $S$ follows a general martingale. This is equivalent to studying the first cent...
The Moments of Log-ACD Models
Duration model overdispersion autocorrelation function high frequency financial data
2010/9/7
We provide existence conditions and analytical expressions of the moments of Log-ACD models. We focus on the dispersion index and the autocorrelation function and compare them with those of ACD and SC...