1) equivalent martingale measure
等价鞅测度
1.
An European option pricing formula was gained by methods of equivalent martingale measure.
讨论股票价格受随机环境影响时期权的定价问题,用等价鞅测度方法给出欧式期权定价公式,以及随机环境对股价波动率、期望收益率、随机利率产生影响时欧式看涨期权的定价公式。
2.
The Gisanov theorem is applied to constructing the equivalent martingale measure and the Ito formula,and using of the reflection principle helps simplifying the pricing formula.
回望期权是与路径有关的期权,文章讨论了利率是随机情况下的回望期权定价公式,文中多次运用了Gisanov定理构造等价鞅测度和伊藤公式,并在此基础上运用反射原理使回望期权的定价问题得到简化。
3.
Based on the Black-Scholes option pricing theory, the equivalent martingale measure is constructed to obtain the optimal strategy of an optimal investment problem.
在最优投资问题的约束条件为收益不低于市场组合收益(随机收益)与固定保本收益最大者的情况下,采用Black Scholes期权定价框架,构造等价鞅测度求解得到该优化问题的最优投资策略。
2) equivalent martingale measures
等价鞅测度
1.
Under the framework of equivalent martingale measures,we discuss the pricing formulas of power payoffs European options with continuous dividend at the time of maturity of the options.
在等价鞅测度框架下,讨论了在期权到期时刻具有连续红利支付的幂型股票欧式期权的定价公式。
2.
Under stochastic interest, by using of equivalent martingale measures model, we discuss single - factor model and two-factor model respectively, and obtain pricing formula of European option on foreign currency.
在随机利率下,分别就单因子模型和双因子模型两种情况展开讨论,利用等价鞅测度模型给出欧式外汇期权定价的一般公式。
3.
All equivalent martingale measures and the minimal reverse entropy martingale measure in a diffusion model are obtained.
利用M-P逆讨论了线性随机方程可料解的结构,由此求出了扩散模型中的所有等价鞅测度,并给出了最小逆熵鞅测度。
3) equivalent martingale measurement transformation
等价鞅测度变换
1.
It puts forward a new kind of pricing approach of credit guarantee based on option pricing of bivariate equivalent martingale measurement transformation of continuo.
针对这一操作中非常流行的现象,考虑了第三方提供反担保条件下的信用担保定价问题,并给出了基于连续时间金融的二元等价鞅测度变换的期权定价方法,从而为提供反担保条件下的信用担保定价提供了理论上的准备和技术上的支持。
4) equivalent (local) martingale measure
等价(局部)鞅测度
5) equivalent probability martingale measure
等价概率鞅测度
1.
By the backward stochastic differential equation method,we get the equivalent probability martingale measure.
通过研究该模型中未定权益所对应的倒向随机微分方程,找到市场中的一个等价概率鞅测度,借助测度变换,未定权益的定价问题就可转化为在等价概率鞅测度下的求期望问题。
6) Minimal entropy martingale measure
最小熵等价鞅测度
补充资料：鞅鞅不乐
1.因不满意而很不快乐。鞅，通"怏"。
说明：补充资料仅用于学习参考，请勿用于其它任何用途。
参考词条