搜索结果: 1-2 共查到“货币银行学 conjecture”相关记录2条 . 查询时间(0.062 秒)
Asymptotic equivalence in Lee's moment formulas for the implied volatility and Piterbarg's conjecture
Call and put pricing functions Implied volatility Lee’s moment formula
2010/10/21
The asymptotic behavior of the implied volatility associated with a general call pricing function has been extensively studied in the last decade. The main topics discussed in this paper are Lee's mom...
A proof of a conjecture in the Cramér-Lundberg model with investments
conjecture Cramér-Lundberg model investments
2010/10/19
In this paper, we discuss the Cram\'er-Lundberg model with investments, where the price of the invested risk asset follows a geometric Brownian motion with drift $a$ and volatility $\sigma> 0.$ By as...