نتایج جستجو برای: shadow price
تعداد نتایج: 96716 فیلتر نتایج به سال:
uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
We derive a formula for the minimal initial wealth needed to hedge an arbitrary contingent claim in a continuous-time model with proportional transaction costs; the expression obtained can be interpreted as the supremum of expected discounted values of the claim, over all (pairs of) probability measures under which the “wealth process” is a supermartingale. Next, we prove the existence of an op...
Our paper presents an agent-based simulation environment for task scheduling in a distributed computer systems (grid). The scheduler enables the simultaneous allocation of resources like CPU time, communication bandwidth, volatile and non-volatile memory while employing a combinatorial resource allocation mechanism. The resource allocation is performed by an iterative combinatorial auction in w...
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