Pricing European options under a double exponential jump-diffusion model with multi-factor CIR market structure risks
多因素CIR市场结构风险的双指数跳扩散模型欧式期权定价
In European option,Brown s action is followed to assume the price of the option target assets.
在欧式期权中,设期权标的资产价格遵循几何布朗运动,研究期权收益与期权标的资产价格的函数关系,以及线性相关程度等问题,以便更好地掌握期权的内部关系,为期权的理论研究和实际应用提供参考。
By modifying the Equation of Brown-Movement,we got the formula of European optional price easily,avoiding using the complex mathematical instrument.
讨论了股票价格遵循Ornstein-Uhlenbeck过程的欧式期权的定价问题,将Ornstein-Uhlenbeck过程作了适当修改,避免利用鞅和随机分析等复杂工具,比较容易地得出了定价公式。
Non-parametvic Estimation on Evaluating European Options Value;
欧式期权价值评估的非参数估计
Recently,in addition to known European options and American options, there appear many new variety which are changed,composed,derived by vanilla options in international financial market.
近年来,国际金融衍生市场除了人们熟知的欧式期权和美式期权之外,还涌现出了大量由标准期权变化、组合、派生出的新品种。
Considering the randomness and mean-reversion of interest rate and underlying,asset,this paper incorporates an expanding Vasicek model and fractional O-U process to study the pricing of European power options.
该文考虑了利率和标的资产价格的随机性和均值回复行为,把扩展的Vasick模型和分数O-U过程进行组合,在随机利率环境下,研究了标的资产价格服从分数O-U过程的两类欧式幂期权定价问题,得到相应的定价公式,并给出了欧式幂期权的看涨-看跌平价关系。
So the stock price can be calculated by using Black-Scholes model and European call option binominal tree pricing model,the price of which depends on the price and maturity period of the corporation s bonds.
指出公司股票是基于公司价值的看涨期权,因此可用Black-Scholes模型和欧式看涨期权二叉树定价公式对公司股价进行计算,其结果取决于公司债券到期时还本付息的金额以及债券的存续时间。
This paper simplify the solving process of Black-Scholes equation and get the pricing formulae of European call option.
本文简化了Black-Scholes方程的求解过程,获得了欧式看涨期权的定价公式,有助于理解传统的期权定价原则。
In this paper,we present a European call option on education annuity,which gives the holder of the contract the opportunity to buy an education annity for a strike price at the age when he has the entrance to university.
本文基于文献[1]引入一种基于教育年金保险的欧式看涨期权,它赋予合约持有人在约定时间以约定价格购买一份连续支付一定年限的教育年金的权利,本文运用保险精算和期权定价的二叉树方法对其进行的定价,并说明这种合约方便于一些低收入家庭进行教育投资。
THE EUROPEAN OPTION PRICING OF STOCK WITH CIRCLE EXPECTED RATE OF RETURN;
收益率周期波动的股票欧式期权定价
The Basic Theory and Account formula of the Pricing of the European Options
欧式期权定价基本原理及其计算公式
Pricing of European Call Option on Corporate Bond
企业债券的欧式期权的定价公式(英文)
The Research of Black-Scholes’ Formula for Pricing European Options;
基于欧式期权的Black-Scholes定价公式研究
The Fourier Deduction of Black-Scholes Pricing Formula of European Options
欧式期权的Black-Scholes定价公式的Fourier推导
Research on Some European Option Pricing Problems
关于欧式期权定价的若干问题的研究
Pricing European Options in a Bivariate Jump-diffusion Model;
一类二元跳扩散模型的欧式期权定价
Pricing European Option on Stocks Based on Ornstein-Uhlenbeck Process;
基于Ornstein-Uhlenbeck过程的欧式期权的定价
Pricing models for default-risky european options
违约风险的欧式期权定价模型(英文)
Mellin Transform Solution for the European Options
Mellin变换在欧式期权定价中的应用
Fuzzy Pricing about European Call Option under the Process of Jump-diffusion
跳跃扩散过程下欧式期权的模糊定价
Pricing of European Option in a Fractional Brownian Motion Environment
分数布朗运动环境下的欧式期权定价
Study on the Relationship of Western-style Optim Pricing and Warrants Prices in the Shanghai and Shenzhen Stock Markets
欧式期权定价与沪深证券市场权证价格分析
Subjective pricing method for European options and corresponding investment decision
欧式期权的主观预期估价方法及投资决策
Pricing European Foreign Currency Option under Jump Fractional Brownian Motion;
跳跃分形过程下欧式汇率期权的定价
Pricing of European Chooser Options on Jump-diffusion Processes;
跳跃-扩散过程下欧式任选期权的定价
European Put Options Pricing by Esscher Transform;
欧式看跌期权的Esscher变换定价法
A Fuzzy Binomial Tree Model with European Call Options Pricing;
关于欧式看涨期权的模糊二叉树模型
