摘要
研究了倒向随机微分方程的非参估计方法,给出了用非参方法估计生成元g和z的公式,并且进行了数值模拟股票价格过程和期权定价过程来验证非参方法的可行性.
Apply the nonparametric estimation method to haekward stochastic differential equation, and give the nonparametric estimation formula of generator g and x also the data of a stock price process and option pricing process to test the applicability of this method is simulated.
出处
《山东大学学报（理学版）》
CAS
CSCD
北大核心
2006年第2期34-38,42,共6页
Journal of Shandong University(Natural Science)
关键词
倒向随机微分方程
非参估计
核
带宽
期权
backward stochastic differential equation
nonparmetric estimation
kernel
bandwidth
option
