1) fractional-jump diffusion process
分数-跳扩散过程
1.
Option pricing on stocks driven by fractional-jump diffusion process;
股票价格遵循分数-跳扩散过程的期权定价
2) Fractional jump-diffusions process
分数跳-扩散过程
1.
②Pricing of reset option under fractional jump-diffusions process and stochastic rateUnder the assumptions that the exchange rate and the price of underlying asset obey an expanding Vasick model and a fractional jump-diffusions process respectively, we obtained the pricing formulas of European call option and the reset option with predetermined date
②随机利率下服从分数跳-扩散模型的重置期权定价假设利率服从扩展的Vasick模型,标的资产价格服从分数跳-扩散过程,利用无套利理论与多元正态分布,导出了规定时间的重置期权的定价公式。
3) jump-diffusion process
跳扩散过程
1.
Option pricing by the martingale measure method considering the price of stock dividends payment and a jump-diffusion process;
支付红利股票的跳扩散过程下期权定价的鞅方法
2.
By changing basic assumption of Merton option pricing model to the assumption that jump process is a kind of special compound Poisson process and volatility without jump is the function of time, it is established that the behavior model of the stock pricing process is jump-diffusion process.
改变了Merton期权定价模型的基本假设,认为股票价格的跳跃过程为一类特殊的复合Poisson过程且无跳时的波动率为时间的函数,建立了股票价格服从跳扩散过程的行为模型。
3.
Assuming that the interest is given,we obtion European reload option pricing formulas on stocks with jump-diffusion process by using an actuarial approach.
在利率确定的情形下,利用保险精算方法,推导了股票价格服从跳扩散过程的欧式再装期权的定价公式。
5) jump-diffusion process
跳-扩散过程
1.
Option pricing model with credit risks when underlying assert returns are jump-diffusion processes;
标的资产价格服从跳-扩散过程的信用风险期权定价模型
2.
The Pricing of Corporate Debt Securities Based on Jump-diffusion Process;
公司资产具有跳-扩散过程的债务证券定价
3.
Option pricing from the price of stock dividends-payment and a jump-diffusion process;
支付红利的跳-扩散过程的股票期权定价
6) jump-diffusion
跳-扩散过程
1.
Gukhal (2004) derived analytical volution formula for compound option when underlying asset followed a special case of jump-diffusion process, that .
Gukhal(2004)给出了当标的股票服从跳-扩散过程的一种特殊情形--跳跃的相对高度的期望k=E(Y-1)=0的复合期权的定价公式。
补充资料：连分数的渐近分数
连分数的渐近分数
convergent of a continued fraction
连分数的渐近分数l阴ve吧e时ofa阴‘毗d五，比.;n侧卫xp口.坦”八卯6‘] 见连分数(con tinued fraction).
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