Mathematica 10の新機能 › 向上したランダム過程 ›

Mertonのジャンプ拡散を使ってオプション価格をモデル化する 

オプション価格付けについてMertonのジャンプ拡散モデルを定義する．

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過程のシミュレーションを行う．

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過程に対するスライス特性を計算する．

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サンプルからスライス分布を近似する．

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