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Option Prices as Probabilities
E-bok,
2010,
Engelska,
ISBN 9783642103957
Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard …
Penalising Brownian Paths
E-bok,
2009,
Engelska,
ISBN 9783540896999
Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process whose properties differ somewhat from those of the original one. We are …