高阶马氏过程影响下的金融模型的等价鞅测度
고계마씨과정영향하적금융모형적등개앙측도
Equivalent Martingale Measure of High-order Markov Finance Model
  • 万方数据
    鲁东大学学报：自然科学版 로동대학학보：자연과학판
    Ludong University Journal （Natural Science Edition）
    2012年 1期 1-3 ,共3页

    王丙均%袁明霞

    왕병균%원명하

    等价鞅测度%高阶马氏过程%广义Girsanov原则 等價鞅測度%高階馬氏過程%廣義Girsanov原則
    등개앙측도%고계마씨과정%엄의Girsanov원칙
    equivalent martingale measure%high-order markov model%extended Girsanov's principle
    考虑离散时间的金融模型的参数均受到高阶马尔可夫链的影响,利用广义的Girsanov原则,获得了一个等价鞅测度,证明了此概率测度和已有文献中利用Esscher变换所得的测度是一致的.
    고필리산시간적금융모형적삼수균수도고계마이가부련적영향,이용엄의적Girsanov원칙,획득료일개등개앙측도,증명료차개솔측도화이유문헌중이용Esscher변환소득적측도시일치적.
    Because of the effect of high-order Markov model on a discrete-time finance model＇s parameters,the extended Girsanov＇s principle is used to get an equivalent martingale measure,which is proved to be the same with the one got by Esscher-transformation in other papers.
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