j******i
发帖数: 6 | 1 To anybody who knows black-scholes model and stochastic differential
equation or anybody who knows control theory.
dS=αSdt+βSdB, S denote the price of a stock depends on t,S(t), α is the
drift or rate of return, β is the volatility, B is brownian motion.
How do I incorporate the control parameter γ , and a number “ L “defined
as dN/dS, where N denotes the amount of asset traded and S denote the asset
price so that dS=(αS+γ/L)dt+βSdB
defines a differential equation.
Thank you in advance | W***n
发帖数: 11530 | 2
defined
asset
This is the kind of thing that the trouble-makers do in program trade.
hahaha
【在 j******i 的大作中提到】
: To anybody who knows black-scholes model and stochastic differential
: equation or anybody who knows control theory.
: dS=αSdt+βSdB, S denote the price of a stock depends on t,S(t), α is the
: drift or rate of return, β is the volatility, B is brownian motion.
: How do I incorporate the control parameter γ , and a number “ L “defined
: as dN/dS, where N denotes the amount of asset traded and S denote the asset
: price so that dS=(αS+γ/L)dt+βSdB
: defines a differential equation.
: Thank you in advance
| F****r
发帖数: 345 | 3 有你这样model SDE的吗？哪里有论文可以查一下？实在是没看懂你的方程。
defined
asset
【在 j******i 的大作中提到】
: To anybody who knows black-scholes model and stochastic differential
: equation or anybody who knows control theory.
: dS=αSdt+βSdB, S denote the price of a stock depends on t,S(t), α is the
: drift or rate of return, β is the volatility, B is brownian motion.
: How do I incorporate the control parameter γ , and a number “ L “defined
: as dN/dS, where N denotes the amount of asset traded and S denote the asset
: price so that dS=(αS+γ/L)dt+βSdB
: defines a differential equation.
: Thank you in advance
| p******e
发帖数: 136 | 4 找本书把stochastic control theory仔细看下，把state and control variable 的意
义弄明白，然后要根据自己研究的东西，写differential equation,,别人整部明白你
想表达的是什么 |
|
