JER, 第 9 卷Hanyang Economic Research Institute in collaboration with Hanyang University College of Business and Economics, 2004 |
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第 1 到 3 筆結果,共 42 筆
第 8 頁
... measure . Namely it can be define the Radon- Nykodym derivative do . Then , Q is called the Esscher measure of pa- rameter h . We need a Lemma to find the Q measure . Lemma 2. Let L be a Levy process satisfying the usual condition . If ...
... measure . Namely it can be define the Radon- Nykodym derivative do . Then , Q is called the Esscher measure of pa- rameter h . We need a Lemma to find the Q measure . Lemma 2. Let L be a Levy process satisfying the usual condition . If ...
第 18 頁
... measure . 7 The Change of Measure : Defaultable Case 7.1 Esscher Measure Similar to in Section 3 , market prices of risk is derived from the Ess- cher transformation . Assume again that the moment generating func- tion of L ( t ) , M ...
... measure . 7 The Change of Measure : Defaultable Case 7.1 Esscher Measure Similar to in Section 3 , market prices of risk is derived from the Ess- cher transformation . Assume again that the moment generating func- tion of L ( t ) , M ...
第 22 頁
... measure under the probability measure F ( T ) and 0 TK - Tk - 1 . The same procedure is applicable for the V.G. process as in Section 5.1 . = 9 Conclusion This paper finds the market prices of risk in the change of proba- bility measure ...
... measure under the probability measure F ( T ) and 0 TK - Tk - 1 . The same procedure is applicable for the V.G. process as in Section 5.1 . = 9 Conclusion This paper finds the market prices of risk in the change of proba- bility measure ...
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