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The purpose of this paper is to investigate the feasibility of using the extended path method - described in Fair and Taylor [ 23 - to solve capital asset pricing. This method is now being used rat...
We explore the consequences for corporate financial policy that arise when investors exhibit inertial behavior. One implication of investor inertia is that, all else equal, a firm pursuing a strategy ...
This presentation draws on ideas from Professor Porter's books and articles, in particular, Competitive Strategy (The Free Press, 1980); Competitive Advantage (The Free Press, 1985); "What is Strategy...
The ideas drawn from "Creating Shared Value" (Harvard Business Review, Jan 2011) and "Competing by Saving Lives" (FSG, 2012).
This paper outlines elements of a conceptual framework that clarifies the role that clusters play relative to government policies and actions of individual companies in supporting the emergence of "Hi...
This paper investigates whether the event of a woman winning office in a competitive election encourages women’s future participation in politics, using constituency level data for elections to India’...
In the context of instigating green construction technology by changing current technology practices, evolutionary game theory is used to solve path dependence problems that yield stable equilibrium. ...
We provide a general construction of time-consistent sublinear expectations on the space of continuous paths. It yields the existence of the conditional G-expectation of a Borel-measurable (rather tha...
This paper investigates the role of the state in the liberalisation of the banking industry in China and the implications for the conventional convergence thesis of market segmentation and financial e...
We provide a new proof for regularity of affine processes on general state spaces by methods from the theory of Markovian semimartingales. On the way to this result we also show that the definition of...
In the framework of path integral the evolution operator kernel for the Merton-Garman Hamiltonian is constructed. Based on this kernel option formula is obtained, which generalizes the well-known Bla...
In this paper new analytical and numerical approaches to valuating path-dependent options of European type have been developed. The model of stochastic volatility as a basic model has been chosen. Fo...
Path Integral and Asian Options     Path Integral  Asian Options       2010/10/21
In this paper we analytically study the pricing of the arithmetically averaged Asian option in the path integral formalism. By a trick about the Dirac delta function, the measure of the path integral...
In this paper, we give a numerical method for pricing long maturity,path dependent options by using the Markov property for each underlying asset. This enables us to approximate a path dependent optio...
We give a rigorous proof of the representation of implied volatility as a time-average of weighted expectations of local or stochastic volatility. With this proof we fix the problem of a circular defi...

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