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On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
Stock price model random walk Gaussian processes weak con-vergence
2012/9/14
This paper considers a sequence of discrete-time random walk markets with a safe and a single risky investment opportunity, and gives conditions for the existence of arbitrages or free lunches with va...
Variance Optimal Hedging for continuous time processes with independent increments and applications
Variance Optimal continuous time processes independent increments applications
2010/11/3
Variance Optimal Hedging for continuous time processes with independent increments and applications.