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Measuring expectations in options markets: An application to the SP500 index
Nonparametric Bayes Dependent Dirichlet process European Options Implied Prices
2010/10/29
Extracting market expectations has always been an important issue when making national
policies and investment decisions in financial markets. In option markets, the most popular way has been to extr...
We construct a time-consistent sublinear expectation in the setting of volatility uncertainty. This mapping extends Peng's G-expectation by allowing the range of the volatility uncertainty to be stoc...