| 流动折现 |
| |
| 引用本文： | 陈世平. 流动折现[J]. 湘潭大学自然科学学报, 2001, 23(3): 104-109 |
| |
| 作者姓名： | 陈世平 |
| |
| 作者单位： | 北京大学金融数学系 |
| |
| 基金项目： | 国家自然科学基金资助项目(19831020) |
| |
| 摘 要： | 研究了大投资者的行为．在金融市场中,投资者的交易在标的股票价格过程下产生不连续的跳跃．并且．跳跃在有限时间内发生．我们在随机脉冲控制下研究此问题．通过这个研究,这篇文章揭示了流动折现的特征,所谓流动折现就是交易者的头寸价值与在进行清理以后的价值的差．
|
| 关 键 词： | 清理 流动折现 脉冲控制 拟变分不等式 |
| 文章编号： | 1000-5900(2001)03-0104-06 |
| 修稿时间： | 2001-01-07 |
Reference |
| |
| CHEN Shi-ping. Reference[J]. Natural Science Journal of Xiangtan University, 2001, 23(3): 104-109 |
| |
| Authors: | CHEN Shi-ping |
| |
| Abstract: | This paper studies the behavior of a large investor in a financial market where trades by the investor create discontinuous jumps in the underlying stock price process and orders have a finite time to execution. The problem is studied withi n the framwork of the theory of stochastic impulse control. Through this study, the paper characterizes the liquidity discount, the difference between the marke t value of a trader s position and its value when liquidated. |
| |
| Keywords: | liquidation liquidity discount impulse control quasi-variational inequalities |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
