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 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 |
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