共查询到20条相似文献，搜索用时 63 毫秒
1.
孙明明 《常熟理工学院学报》2023,(2):96-101+124
研究了标的资产价格过程满足次分数布朗运动与跳-扩散过程共同驱动的随机微分方程．根据次分数布朗运动随机分析理论，建立利率满足次分数Vasicek模型，利用保险精算法，研究此环境下重置期权定价问题，得到相应的重置期权定价公式．推广了已有的关于重置期权定价的相关结论． 相似文献
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《淮北师范大学学报》2017,(2):1-5
文章研究不具有平稳增量的随机过程下的欧式期权定价问题.假设标的资产价格变化过程由混合分数布朗运动来刻画,在此环境下研究欧式看涨期权.利用复制策略得到欧式看涨期权价值所满足的偏微分方程.结合欧式看涨期权价值满足的终端条件,运用Mellin变换得到偏微分方程的解析解,即混合分数布朗运动环境下欧式看涨期权定价公式. 相似文献
3.
武文娜 《通化师范学院学报》2011,32(8):12-13
分数布朗运动由于具有自相似和长期相关等分彤特性,已成为数理金融研究中更为适合的工具．文中在风险中性测度下,利用随机微分方程和拟鞅定价方法,给出了加跳的分数布朗运动模型下的欧式外汇期权定价公式． 相似文献
4.
《绵阳师范学院学报》2013,(11)
该文在标的资产价格服从几何分数布朗运动的模型假设下,利用自融资交易策略和分数型Ito^公式将几何平均亚式期权定价问题转化为一个偏微分方程求解问题,通过偏微分方程求解,得到了有交易费用的分数型几何平均亚式期权的定价公式. 相似文献
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《河南职业技术师范学院学报(职业教育版)》2020,(1)
次分数布朗运动被广泛运用于各种期权定价中,与分数布朗运动相较而言,次分数布朗运动的增量非平稳,能够描述分数布朗运动难以描述的股价收益率变化非平稳的金融市场.又由于在现实的金融市场中,很多时候股票价格会发生波动或者是跳跃,故为了更形象地拟合股票价格市场的变化,在次分数布朗运动中引入跳-扩散模型,建立相应的金融市场数学精算模型,然后运用次分数随机分析理论以及保险精算方法,推导出欧式看涨和看跌期权的定价公式及平价关系,从而得出后定选择权定价公式.最后给出相应的数值算例,通过分析算例结果可知,Hurst指数与跳跃强度都在不同程度上影响着后定选择权的价格. 相似文献
6.
董志英 《乐山师范学院学报》2009,24(5):19-20,24
本文假定股价过程受分数布朗运动和跳过程共同驱动,且跳过程是比泊松过程更一般的一类特殊的更新过程,在红利率和无风险利率为时间的非随机函数情形下,利用分数风险中性定价原理得到了价格服从分形跳-扩散过程的欧式幂型期权定价公式． 相似文献
7.
标的资产价格服从几何分数布朗运动的交换期权定价 总被引：1，自引：0，他引：1
在分数布朗运动的假设下,文章研究了欧式交换期权的定价,并与标准的布朗运动下的期权进行了比较,可以看出B-S模型实际上是分数布朗运动的特例。 相似文献
8.
经典的期权定价模型假设股票价格服从标准几何布朗运动,但金融实证表明用分数布朗运动描述股票价格过程更贴近市场.本文假设标的资产服从几何分数布朗运动,且无风险利率r(t),红利率q(t),波动率σ(t)均为随时间变化的确定函数,运用拟鞅方法求出了欧式缺口期权的定价公式,推广了相关结果. 相似文献
9.
潘坚 《赣南师范学院学报》2012,33(3):14-18
在股票价格、公司价值均服从分数次布朗运动且相关的条件下,利用△对,中方法导出脆弱欧式期权的定价模型,并利用偏微分方程方法得到其显式定价公式． 相似文献
10.
利用保险精算方法,在假设标的资产价格服从几何分数布朗运动的情况下,推导出了混合期权的定价公式,并且假设股票预期收益率、波动率和无风险利率均为时间的函数,推导了参数依赖于时间的混合期权的定价公式. 相似文献
11.
罗艳萍 《读与写:教育教学刊》2008,5(6)
The communication of people partially is the communication of cultures. Culture has a direct effect on international commercial activities in all aspects. Different conceptions about time, space, equality, law and the like, lead people to deal with things in different ways. So to know cultures of the counterpart is to facil-itate our enterprises so as to have a smooth and successful communication in commercial activity. 相似文献
12.
Richard Denner 《海外英语》2007,(4):14-15
Rosco and I wait for the fishermen to return.I sit at a wooden bench near the store at Mt.Baker Resort and watch the clouds change shape. Rosco has my belt around his neck and an eight foot tow chain hooked to a tree. Dogs must be on a leash. Ducks and rabbits are loose. 相似文献
13.
Given a graph G,a subgraph C is called a clique of G if C is a complete subgraph of G maximal under inclusion and |C|≥2. A clique-transversal set S of G is a set of vertices of G such that S meets all cliques of G. The clique-transversal number, denoted as TC (G), is the minimum cardinality of a clique-transversal set in G. The clique-graph of G, denoted as K (G), is the graph obtained by taking the cliques of G as vertices, and two vertices are adjacent if and only if the corresponding cliques in G have nonempty intersection. Let F be a class of graphs G such that F={G|K(G) is a tree}. In this paper the graphs in F having independent clique-transversal sets are shown and thus TC (G)/|G|≤1/2 for all G ∈ F. 相似文献
14.
邱崇丙 《唐山师范学院学报》2014,(1):21-23
汉字的六书,《说文》对“转注”一类,语焉不详。后世学者提及转注,也仅限于许慎所举出的例字。《汉字例说》一文,作者从转注的角度综合考虑,对部分现代常用字作了分析,跟传统的解释有所不同。希望能抛砖引玉,互相切磋,以推进学术研究。 相似文献
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《海外英语》2007,(5):10-11
Many college freshmen arrive woefully unprepared to do college work, and as disadvantaged populations continue to grow, the share of the American work force that has made it through college is expected to plummet. Many experts blame that educational failure not just on high schools but also on colleges. School & College, a special report by The Chronicle, looks at efforts to fix the system. What reforms would better prepare students for college? What should schools and colleges be doing differently? How should state and federal officials help? 相似文献
18.
陈美曦 《山东教育学院学报》2008,23(2):103-107
Different nations have different social cultures, and the social culture of every nation is developing with the development of the nation, language is greatly influenced by social culture, which enables language to possess national and historical characteristics. Word is the smallest, independent, meaningful linguistic unit of language. It can well reflect the national and historical characteristics. From synchronic aspect, the social and cultural influence on word meaning is mainly embodied in conceptual and associative meanings of word. The incorrespondence of word meaning is a phenomenon that exists in both conceptual and associative meanings of word among different languages. From diachronic aspect, the development of social culture causes some changes of word meaning to some extent. Therefore, social culture plays a key role in vocabulary learning and mastery of a language. 相似文献
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Rachel Zupek 《海外英语》2007,(11):40-41
我们绝大部分人都同意一件事情——我们喜欢金钱。但是你对金钱的喜欢之情足够到让你创立一份事业么?.财富通常被人忽视,主要在于人们不能真正了 相似文献
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《海外英语》2007,(4):36
There are numbers of crossroads on our long and unpredictable life journey where we totally have no idea about which direction to choose. No matter what our decision is, we should not turn back, but face the music and go ahead instead. I am this kind of girl who always does try without regretting, one example is how I dealt with my love. 相似文献