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Ambiguous Volatility, Possibility and Utility in Continuous Time
ambiguity uncertain volatility option pricing recursive utility stochastic differential utility G-expectation G-Brownian motion nonequivalent measures uncertain possibility quasisure analysis
2011/3/30
We formulate a model of utility for a continuous time framework that captures the decision-maker's concern with ambiguity or model uncertainty. The main novelty is in the range of model uncertainty th...
We obtain new closed-form pricing formulas for contingent claims when the asset follows a Dupire-type local volatility model. To obtain the formulas we use the Dyson-Taylor commutator method that we h...
ON THE MACROECONOMIC CAUSES OF EXCHANGE RATES VOLATILITY
exchange rates volatility macroeconomic volatility, long memory structural change fractional cointegration cobreaking, fractionally integrated factor vector autoregressive model G-7 area
2014/6/24
What are the causes of exchange rate volatility? When second moments implications of theories of exchange rates determination are considered, long-term fundamental linkages between macroeconomic and e...