Asymptotic pricing in large financial markets

Micha? Baran

首页> 外文期刊>Mathematical Methods of Operations Research >Asymptotic pricing in large financial markets

【24h】

Asymptotic pricing in large financial markets

机译：大型金融市场中的渐近定价

获取原文

获取原文并翻译 | 示例

掌桥外文数据库（机构版） >>

开具论文收录证明 >>

文献代查 >>

页面导航

摘要
著录项
相似文献
相关主题

摘要

The problem of hedging and pricing sequences of contingent claims in large financial markets is studied. Connection between asymptotic arbitrage and behavior of the α-quantile price is shown. The large Black–Scholes model is carefully examined.

机译：研究了大型金融市场中或有债权的对冲和定价顺序问题。显示了渐近套利与α分位数价格行为之间的联系。仔细研究了大型Black-Scholes模型。

著录项

来源
《Mathematical Methods of Operations Research》 |2007年第1期|1-20|共20页
作者
Micha? Baran;
展开▼
作者单位

Mathematics Department of Cardinal Stefan Wyszyński University in Warsaw ul. Dewajtis 5 01-815 Warsaw Poland;

展开▼
收录信息
原文格式 PDF
正文语种 eng
中图分类
关键词
Large financial market; Pricing; Quantile hedging; Risk measures; 60G42; 91B28; 91B24; 91B30; G11; G12;

机译：大型金融市场;定价;分位数对冲;风险衡量;60G42;91B28;91B24;91B30;G11;G12;

相似文献

外文文献
中文文献
专利

1. Asymptotic Exponential Arbitrage and Utility-Based Asymptotic Arbitrage in Markovian Models of Financial Markets [J] . Bidima Martin Le Doux Mbele, Rasonyi Miklos Acta Applicandae Mathematicae: An International Journal on Applying Mathematics and Mathematical Applications . 2015,第1期

机译：金融市场马尔可夫模型中的渐进指数套利和基于效用的渐进套利
2. The Changing Role of Financial Stress, Oil Price, and Gold Price in Financial Contagion among US and BRIC Markets [J] . Kocaarslan Baris, Soytas Ugur, Sari Ramazan, International review of finance . 2019,第3期

机译：金融压力，石油价格和黄金价格在美国和金砖四国市场之间的金融传染中的角色变化
3. GDP-Driven Model For The Binary And Weighted Structure Of The International Trade Network, Quantum Bohmian Model For Financial Market, Methods Of Quantum Mechanics For Mathematical Modeling Of Price Dynamics At The Financial Market, Fractionalization Of T [J] . K.N.P. Kumar Advances in Physics Theories and Applications . 2013,第2期

机译：GDP驱动的国际贸易网络二元和加权结构模型，金融市场的量子Bohmian模型，金融市场价格动态数学建模的量子力学方法，T的分数化
4. Price and Price Range Prediction in Financial Markets [C] . Y. Alperovich, M. Alperovich, A. Spiro International Conference "Management of Large-Scale System Development" . 2018

机译：金融市场价格和价格范围预测
5. Essays on financial derivatives: Essay One. Predicting future volatility in currency options market. Essay Two. Calibration of Heston's model in currency options market. Essay Three. Pricing European options and calibration in equity -linked derivatives market. [D] . Murat, Atilim. 2007

机译：关于金融衍生工具的论文：论文一。预测货币期权市场的未来波动。论文二。在货币期权市场中对Heston模型的校准。论文三。股票期权衍生品市场中的欧洲期权定价和校准。
6. Mesoscopic Community Structure of Financial Markets Revealed by Price and Sign Fluctuations [O] . Assaf Almog, Ferry Besamusca, Mel MacMahon, -1

机译：价格和符号波动揭示了金融市场的介观社区结构
7. The Impact of the 2008 Global Financial Crisis on the Structure of the Transmission of Price Innovations Across Financial Markets: The Case of Southwest Asian Equity Markets [O] . Liao Qunfeng, Mehdian Seyed, Stephens John 2016

机译：2008年全球金融危机对金融市场价格创新传导结构的影响：以西南亚股票市场为例

Asymptotic pricing in large financial markets

摘要

著录项

相似文献

相关主题

期刊订阅