An EPMS Price Estimator for Multi-Asset Financial Derivatives
碩士 === 國立高雄大學 === 統計學研究所 === 103 === This article considers the empirical P-martingale simulation (EPMS) price estimator for multi-asset financial derivatives. The corresponding change of measure process of a stochastic model is derived by the multiple dimensional Girsanov theorem or Esscher transf...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/gxymd7 |