搜索结果: 1-5 共查到“应用经济学 approximation”相关记录5条 . 查询时间(0.155 秒)
On a numerical approximation scheme for construction of the early exercise boundary for a class of nonlinear Black-Scholes equations
numerical approximation construction nonlinear Black-Scholes equations
2010/10/21
The purpose of this paper is to construct the early exercise boundary for a class of nonlinear Black--Scholes equations with a nonlinear volatility depending on the option price. We review a method h...
Picard approximation of stochastic differential equations and application to LIBOR models
Picard approximation stochastic differential equations application LIBOR models
2010/10/21
The aim of this work is to provide fast and accurate approximation schemes for the Monte Carlo pricing of derivatives in LIBOR market models. Standard methods can be applied to solve the stochastic di...
Early exercise boundary for American type of floating strike Asian option and its numerical approximation
option pricing American-style of Asian options early exercise bound-ary limiting behavior close to expiry
2010/11/3
In this paper we generalize and analyze the model for pricing American-style Asian options due to (Hansen and Jørgensen 2000) by including a continuous divi-dend rate q and a general method of ...
An Application of Linear Approximation of Almost Ideal Demand System：Data from Erzurum Central District
LA/AIDS food demand analysis elasticity Erzurum
2009/1/14
In this study, a food demand analysis of Erzurum central district was conducted. This study differs from previous ones by the use of current data and a new model. Various elasticities computed in this...
A finite dimensional approximation for pricing moving average options
pricing moving average
2010/12/13
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimension...