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发帖数: 538 | 1 ☆─────────────────────────────────────☆
jiangwei (johnny) 于 (Wed Feb 18 22:11:29 2009) 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 |
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