摘要
条件期望在现代随机数学中有着重要的理论价值,该文介绍了σ-代数和条件期望的一般概念,从数学期望、博弈中的公平性和标准期权的定价三个方面给出了基于σ-代数条件期望的应用.
Conditional expectation has important theoretical value in modern stochastic mathematics. In this paper, the general concept of algebraic and conditional expectation is introduced. Three applications of σ - algebra conditional expectation are given, and mathematical expectation, fairness of the game and pricing of the standard option are included.
作者
王亚军
张艳
Wang Yajun Zhang Yan(China University of Mining and Technolog)
出处
《哈尔滨师范大学自然科学学报》
CAS
2016年第3期1-3,共3页
Natural Science Journal of Harbin Normal University
基金
国家自然科学基金(51204177)
关键词
Σ-代数
条件期望
公平博弈
期权定价
σ - Algebra
Conditional expectation
Fair game
Option pricing
