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Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
asynchronous observations co-jumps statistics of semimartingales quadratic covariation
2013/6/14
We consider estimation of the quadratic (co)variation of a semimartingale from discrete observations which are irregularly spaced under high-frequency asymptotics. In the univariate setting, results b...
Efficient robust nonparametric estimation in a semimartingale regression model
Non-asymptotic estimation Robust risk Model selection
2010/10/19
The paper considers the problem of robust estimating a periodic function in a continuous time regression model with dependent disturbances given by a general square integrable semimartingale with unk...
Forward equations for option prices in semimartingale models
option prices semimartingale models
2010/4/27
We derive a forward partial integro-differential equation for prices of call options in a model where the dynamics of the underlying asset under the pricing measure is described by a -possibly discont...
On the semimartingale property of discounted asset-price processes
semimartingale property discounted asset-price processes
2010/12/17
A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, ...
Semimartingale integrals via decoupling inequalities and tangent processes
Semimartingale integrals decoupling inequalities tangent processes
2009/9/23
Semimartingale integrals via decoupling inequalities and tangent processes。
Option Price When the Stock is a Semimartingale
Black-Scholes formula Meyer-Tanaka formula semimartingales
2009/4/29
The purpose of this note is to give a PDE satisfied by a call option when the price process is a semimartingale. The main result generalizes the PDE in the case when the stock price is a diffusion. It...
The numeraire portfolio in semimartingale financial models
portfolio semimartingale financial models
2010/12/17
We study the existence of the numeraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numeraire portfolio generates a wealth process, with...
Semimartingale Stochastic Approximation Procedures and Recursive Estimation
Stochastic approximation Robbins–Monro type SDE semimartingale convergence sets “standard” and “nonstandard” representations
2010/4/29
The semimartingale stochastic approximation procedure, namely,
the Robbins–Monro type SDE is introduced which naturally includes
both generalized stochastic approximation algorithms with martingale ...