定价公式 meaning in English
pricing formula
Examples
- Based on the fractals of the capital market , this paper derives a fractional geometric brownian motion model for the stock price . this paper constructs a formula for option pricing on the basis of the fractional brownian motion model . on the one hand , this paper draws on the latest researches in this field : the explicit formula for european option pricing ? the fractional brownian motion formula for option pricing ; on the other hand , the analytical solution is derived through the monte carlo simulation
基于资本市场的分形特性,本文接着推导出股票价格变化的几何分数布朗运动模型;随后,在该模型的基础上,本文研究了在分数布朗运动环境下的期权定价模型,一方面引用了国际上最新的研究成果:在分数black - scholes完全市场下,欧式期权定价的显式公式-分数black - scholes期权定价公式;另一方面,又运用蒙特卡罗模拟法,通过模拟股票价格变化的路径并进行贴现,得出了欧式期权价格的数值解。 - Using equivalence martingale probability measure given permission to be installed once and twice with the european style options pricing formula , and focus on exploring the options pricing technically allowed to be loaded with a european - style options for the manager incentive options with the standard incentive comparative analysis
利用等价鞅概率测度给出允许再装一次和两次的欧式再装期权的定价公式,并着重从期权定价技术上探讨允许再装一次的欧式再装期权用于经理激励与标准期权的激励比较分析。 - Evading risk in financial trading market cries for pricing options to a nicety . asian option , as the most flourish options in the finace market , the pricing has been focused on always . the exact pricing formula for the geometric average asian option had existed , but as to the european - style arithmetic average asian option , due to the dependence structure between the prices of the underlying asset , no analytical formula exists . on the hypothesis that the market is frictionless and without transaction costs 、 on the base of b - s ’ s and in the binomial tree model , we provide several algorithms for computing an accurate value of the european - style arithmetic average asian option . following rogers and shi and by jensen ’ s inequality , many different upper and lower bounds are provided ; meanwhile a formula have got by the comonotonicity and approximating the distribution function . all of the algorithms are easy for programming . with the development of computer , more accurater price can be computed quickly . and numerical example proved that these algorithms are very accurate
对于几何平均亚式期权它的定价相对简单,已经给出了定价公式。对于算术平均亚式期权,它的未定权益具有轨道依赖特性,一直没有得到它的定价方程的解析解形式。本文基于对市场是无摩擦且在没有交易费用的情况下,在b - s模型下,利用二叉树模型给出了算术平均亚式期权定价方法;并总结了利用jensen ’ s不等式给出的各种不同情况下的上下界;同时应用共单调性和近似分布函数的方法也给出了算术平均亚式期权价格的近似公式。 - And the unbelievable increase happened in the filed of derivatives , the issued financial derivatives in 1996 is totally around 3 . 5 trillion u . s . dollars , and among these transactions , about 2 . 5 trillion u . s . dollars was otc , and the rest was happened in the official exchange
Vasicek根据vasicek随机模型推导出零息债券的平均价格,奥托在其1998年的论文中用统计物理学中的路径积分方法重新推导了基于vasicek随机模型的零息债券平均价格的定价公式,并得到了相同的结论。 - Q ( t ) ) dt + ( t ) dwtq ] , and the interest rate of the riskless asset 、 the volatility rate and the dividend rate of stock are non - random functions of time , the pricing formula of two - points reset option is obtained by using martingale and stochastic analysis knowledge 。 following the thought of merton , chapter five depicts the asset price motion with ito
Q ( t ) ) dt + ( t ) dwtq ] ,且无风险利率、股息率以及波动率为时间的非随机函数,并借助鞅和随机分析知识给出了两点重设型期权的定价公式。第五章按照merton的思想,用以下ito