搜索结果: 151-165 共查到“经济学 Price”相关记录194条 . 查询时间(0.046 秒)
Universal Behavior of Extreme Price Movements in Stock Markets
Universal Behavior Extreme Price Movements Stock Markets
2010/11/3
Many studies assume stock prices follow a random process known as geometric Brownian motion.
Although approximately correct, this model fails to explain the frequent occurrence of extreme price movem...
Quantum Neural Computation for Option Price Modelling
Option price modelling Quantum neural computation nonlinear Schr¨odinger equations leverage effect bidirectional associative memory
2010/10/29
We propose a new cognitive framework for option price modelling, using quantum
neural computation formalism. Briefly, when we apply a classical nonlinear neuralnetwork
learning to a linear quantum S...
Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models
true martingales one-dimensional diffusions separating times financial bubbles
2010/11/1
The stochastic exponential Zt = exp{Mt − M0 − (1/2)hM,Mit} of a continuous local martingale M is itself a continuous local martingale. We give a necessary and sufficient condition for the ...
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models
Probabilistic representations asset price linear stochastic volatility models
2010/11/2
Probabilistic representations of the density function of the asset price and of vanilla options in linear stochastic volatility models。
Tremor price dynamics in the world's network of stock exchanges
Tremor price dynamics stock exchanges
2010/11/3
We use insight from a model of earth techtonic plate movement to obtain a new understanding of
the build up and release of stress in the price dynamics of the world’s stock exchanges. Nonlinearity en...
On the short-term influence of oil price changes on stock markets in GCC countries: linear and nonlinear analyses
GCC stock markets oil prices linear and nonlinear analyses
2010/11/1
This paper examines the short-run relationships between oil prices and GCC stock markets. Since GCC countries are major world energy market players, their stock markets may be susceptible to oil price...
On the Existence of Consistent Price Systems
Consistent pricing systems No-arbitrage Transaction costs Full support, Conditional
2010/11/3
In [8], a sufficient condition for the existence of consistent price systems (CPSs) was given. In this note, we give a weaker sufficient condition for a CPS to exist. We use this condition
to show th...
Efficient swaptions price in Hull-White one factor model
Efficient swaptions price factor model
2010/10/29
The Hull-White one factor model is used to price interest rate options. The parameters
of the model are often calibrated to simple liquid instruments, in particular European
swaptions. It is therefo...
Optimal execution of Portfolio transactions with geometric price process
Optimal execution Portfolio geometric price process
2010/11/2
In this paper we derive the Markowitz-optimal, deterministic-execution trajectory for a trader who wishes to buy or sell a large position of a share which evolves as a geometric Brownian
motion in co...
A queueing theory description of fat-tailed price returns in imperfect financial markets
queueing theory description imperfect financial markets
2010/11/2
In a nancial market, for agents with long investment horizons or at times of severe market stress, it is often changes in the asset price that act as the trigger for transactions or shifts in investm...
The Natural Price of Natural Ice in America, 1880-1910
Natural Price of Natural Ice America
2010/10/11
Adam Smith‟s concept of “natural price,” the price of a good's raw materials and labor without producer profit, illustrates the way that many American consumers saw natural ice during the indust...
(Contemporary Issue) Cotton Market Price Information: How it Affects the Industry
(Contemporary Issue) Cotton Market Price Information Affects Industry
2008/12/15
Price information is relevant to all sectors and participants in the cotton industry, but understanding of the roles of price information by industry is not widespread. This paper examines the role of...
Evaluation of Cotton Put Options as a Price Risk Management Tool
Cotton Options Price Risk Management Tool
2008/12/10
The commodity production sector has attempted to manage price risk through the use of futures and options contracts, but producers are faced with a limited amount of time to analyze factors necessary ...
On the Necessity of Using Average Cost as a Base for Transfer Price
Multibusiness enterprise OECD taxation guidelines Transfer pricing Vertical integration
2010/10/20
Both older and recent literature on transfer pricing is not unified about the opinion whether optimal transfer price should be equal to marginal cost of supplying company and set by centralized decisi...
Endogenous Information Acquisition on Opponents' Valuations in Multidimensional First Price Auctions
Multidimensional sealed-bid auctions endogenous information acquisition opponents' valuation profitability
2010/7/2
This paper investigates bidder's covertly behavior of endogenous information acquisition on her opponents' valuations in first price auction model with independent private values, which is the initial...