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- By means of Girsanov theorem and martingale method, we obtain compound option pricing formula and hedging strategy of European contingent claim. 通过Girsanov定理和鞅表示方法,得到欧式未定权益的复合期权定价公式及其套期保值策略。
- By means of stochastic analysis theory related to fractional Brownical motion, the pricing model of European contingent claim is given. 摘要利用关于分数布朗运动的随机分析理论,给出分数布朗运动环境下欧式未定权益定价模型。
- By means of backward stochastic different equation and martingale methods,this paper obtaines general pricing formula of European contingent claim. 利用倒向随机微分方程和鞅方法,得到欧式未定权益的一般定价公式。
- In the case of stochastic interest,the pricing formulas of the European contingent claim on dividend- paying stock are obtained (Theorem2.2,2.3,Corollary2.4,2.5,2.6) . 首先推导出随机利率以及基础股票支付红利的情形下一般欧式未定权益的定价公式(定理2.;2,2
- Pricing of a Kind of European Contingent Claim 一种欧式未定权益定价公式的推导
- General pricing formula of European contingent claim and its application 欧式未定权益的一般定价公式及其应用
- Pricing Model of European Contingent Claim with Different Interest rate 具有不同借贷利率的欧式未定权益定价模型
- Pricing on European contingent claim with stochastic life under fractional Brownian motion environment 分数布朗运动环境下具有随机寿命的欧式未定权益的定价
- First,making use of martingale method,pricing formula on European contingent claim,price of call and put option were obtained; 首先利用鞅方法给出欧式未定权益一般定价公式 ,并得到欧式买权、卖权价格的解析表达式及平价关系 ,推广了一般 Black- Scholes模型及 merton模型的结果 ;
- European contingent claim 欧式未定权益
- Pricing European Contingent Claims with Generalized Ornstein-Uhlenback Process 广义Ornstein-Uhlenbeck过程的欧式未定权益定价
- Pricing European Contingent Claims Under Stochastic Interest Rate and Stochastic Life 随机利率和随机寿命下的欧式未定权益定价
- An pricing formulas and hedging stratagem for European contingent claims with no risk-neutral valuation 非风险中性定价意义下欧式未定权益定价及其套期保值策略
- European Contingent Claims Pricing and Hedging Strategy with Partial Information 部分信息下的欧式未定权益定价及套期保值策略
- European Contingent Claims Valuation in the Mixed Process of the Underlying Asset Price 标的资产混合过程的欧式未定权益定价
- Hedging European Contingent Claims at Higher Interest Rate for Borrowing with Transaction Costs 高借款利率下有交易费的欧式未定权益的套期保值
- Black-Scholes Equation of European Contingent Claims about Several Securities Whose Prices Are Derived by Nonlinear Jump-diffusion Processes 非线性跳跃扩散型多证券价格过程欧式未定权益定价的Black-Scholes方程
- There are four parts in this paper. The first chapter introduce the development of financial mathematics, Backward Stochastic Differential Equation (BSDE) and the pricing of contingent claim, especially of European style by using the method of BSDE. 本文分为四个部分,第一章绪论,介绍了金融数学和倒向随机微分方程(BSDE)的发展背景以及利用BSDE研究未定权益定价特别是欧式未定权益定价的发展状况。
- The quanto option is a contingent claim whose investor has to consider to avoid the risk from both the foreign stock price and exchange rate simultaneously. 摘要汇率连动期权是一种未定权益,其投资者不得不同时规避国外股票和外汇价格变动的风险。
- We can also imagine state contingent claims that are true residual claims. 我们也能够想象出,状态依存索取权是真的剩余索取权。