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Risk Premium Impact in the Perturbative Black Scholes Model
Risk Premium Impact Perturbative Black Scholes Model
2010/12/20
We study the risk premium impact in the Perturbative Black Scholes model. The Perturbative Black Scholes model, developed by Scotti, is a subjective volatility model based on the classical Black Schol...
We study the point of transition between complete and incomplete financial models thanks to Dirichlet Forms methods. We apply recent techniques, developped by Bouleau, to hedging procedures in order ...