郭子君. Brown运动与Poisson点过程混合驱动价格模型下投资组合生成函数[J]. 应用概率统计, 2010, 26(1): 1-8.
引用本文: 郭子君. Brown运动与Poisson点过程混合驱动价格模型下投资组合生成函数[J]. 应用概率统计, 2010, 26(1): 1-8.
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Guo Zijun. Portfolio Generating Functions with Price Drivingby Brown Motions and Poisson Point-Processes[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(1): 1-8.
Citation: Guo Zijun. Portfolio Generating Functions with Price Drivingby Brown Motions and Poisson Point-Processes[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(1): 1-8.
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Brown运动与Poisson点过程混合驱动价格模型下投资组合生成函数

Portfolio Generating Functions with Price Drivingby Brown Motions and Poisson Point-Processes

    摘要
  • 摘要: 研究了由Brown运动和Poisson点过程混合驱动的资产价格模型. 以该模型为基础, 应用随机分析的方法得到了生成函数生成投资组合与市场资产组合之间的关系.

     

    Abstract: The models of price driving by Brown motions and Poisson point-processes are studied. Using the method of stochastic analysis, the relation between the portfolio generated by portfolio generating function and the market asset portfolio is concluded.

     

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