搜索结果: 1-11 共查到“应用经济学 discrete”相关记录11条 . 查询时间(0.822 秒)
We analyze the implications of different pricing rules in discrete clock
auctions. The two most common pricing rules are highest-rejected bid
(HRB) and lowest-accepted bid (LAB). Under HRB, the wi...
This paper outlines the methods and applications related to the
nascent area of empirical discrete games in marketing. Many key strategic
decisions firms make involve discrete choices such as ...
Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets
Variance-optimal hedging Follmer-Schweizer decomposition Levy process Cumulative generating function Characteristic function
2012/6/5
We consider the discretized version of a (continuous-time) two-factor model introduced by Benth and coauthors for the electricity markets. For this model, the underlying is the exponent of a sum of in...
Convex order properties of discrete realized variance and applications to variance options
independent increments increasing convex order discretely sampled
2011/3/30
We consider a square-integrable semimartingale with conditionally independent increments and symmetric jump measure, and show that its discrete realized variance dominates its quadratic variation in i...
Connecting discrete and continuous lookback or hindsight options in exponential Lévy models
Exponential L´ evy model Lookback option Continuity correction
2010/10/21
Motivated by the pricing of lookback options in exponential L\'evy models, we study the difference between the continuous and discrete supremum of L\'evy processes. In particular, we extend the result...
Exponential wealth distribution in different discrete economic models
Exponential wealth distribution economic models
2010/10/21
Exponential distribution is ubiquitous in the framework of multi-agent systems. An alternative approach with an economic motivation to derive the exponential distribution in the framework of iteratio...
Analysis of the sensitivity to discrete dividends : A new approach for pricing vanillas
Equity options discrete dividends
2010/10/21
The incorporation of a dividend yield in the classical option pricing model of Black- Scholes results in a minor modification of the Black-Scholes formula, since the lognormal dynamic of the underlyin...
Transversality Conditions for Higher Order Infinite Horizon Discrete Time Optimization Problems
Transversality condition Dynamic optimization
2010/10/20
In this paper, we examine higher order difference problems. Using the "squeezing" argument, we derive both Euler's condition and the transversality condition. In order to derive the two conditions, tw...
Hedging Errors Induced by Discrete Trading Under an Adaptive Trading Strategy
Hedging Errors Induced Discrete Trading Adaptive Trading Strategy
2010/10/20
Discrete time hedging in a complete diffusion market is considered. The hedge portfolio is rebalanced when the absolute difference between delta of the hedge portfolio and the derivative contract reac...
Optimal partial hedging in a discrete-time market as a knapsack problem
Optimal partial discrete-time market knapsack problem
2010/11/2
Optimal partial hedging in a discrete-time market as a knapsack problem.
On the Existence of Shadow Prices in Finite Discrete Time
transactions costs portfolio optimization shadow price
2010/11/3
A shadow price is a process eS lying within the bid/ask prices S, S of a market with proportional transaction costs, such that maximizing expected utility from consumption
in the frictionless market ...