1) affine jump-diffusion process
仿射跳跃-扩散过程
1.
This paper proposes the stochastic electricity price models based on the affine jump-diffusion process with two or three jump components and a novel approximate parameter calibration method, with which the model parameter.
文中提出了基于仿射跳跃-扩散过程的、具有2个和3个跳跃分量的电价随机模型以及一种新的参数标定方法。
2) affine jump diffusion
仿射跳跃扩散
3) jump-diffusion process
跳跃-扩散过程
1.
Provided that stock price process is a jump-diffusion process,the rate of return and the volatility are functions of time,the pricing formula of exponential European jump option can be obtained with the principle of equivalent martingale measure.
假定股票价格过程服从跳跃-扩散过程,且无风险利率,股票收益率、波动率均为时间函数,利用等价鞅测度方法得出了支付函数为幂型的欧式期权定价公式。
2.
This paper assumes that the underlying price obeys a renewal jump-diffusion process, studies how to determine a sound hedge ratio when given an acceptable probability of hedge failing, and suggests the way to assume the parameter of calculating the optimal hedge ratio which is finally validated with an example.
假设标的股票服从更新跳跃-扩散过程,研究在保值者给定可接受的保值失败概率情况下,如何确定合理的套期保值比率。
3.
Based on option theory,a three-factor model for evaluating the coal mining rights is set up when the interest rate and convenience yield follow mean-reverting process and the coal price follows jump-diffusion process.
基于期权理论,构建了煤炭价格服从跳跃-扩散过程,利率和便利收益服从均值回复过程的煤炭资源采矿权估价三因素模型。
6) affine jump-diffusion model
仿射跳跃-扩散模型
补充资料:仿射态射
仿射态射
afBne morphism
仿射态射!心ne m.,hism;a中扣.洲‘‘Mop加,M] 概形的态射f二X~S,使得S中每个开仿射子概形的原象也是一个仿射概形(affine scheme).概形X称为仿射s概形(affines一scheme)· 设s是一个概形,A是少s代数的拟凝聚层,矶是S内开仿射子概形,它们构成S的一个夜叠.那么把仿射概形Specr(U:,A)粘合起来就确定一个仿射S概形,记为Spec A.反之,可用仿射态射f:X~S定义的任何仿射S概形都同构于(作为S上概形)概形Specf.心.S概形f:Z~S到仿射S概形SpecA中S态射的集合与岁s代数层的同态A~f.几成一一对应. 概形的闭嵌人或仿射概形的任意态射都是仿射态射;仿射态射的其他例子是整态射以及有限态射.因而概形正规化的态射是仿射态射.仿射态射在复合及基变换下仍保持是仿射态射.【补注】‘一!方一,称为亨眼今射(finlte morph、“m),如果存在S的开仿射子概形的覆叠(S。),使得对所有的:,.厂‘(sa)是仿射的,并且f一’(sa)的环B。作为S。的环魂。土的模是有限生成的.态射是整的,如果氏在沌。上是整的,即每卜*6B。都在A。七是整的,这意指它足系数在注。中的泊一多项式的根或等价地,对每个一、任尽、,模‘4。卜]是有限生成一4。模.
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