1) method of Martingale
鞅方法应用简介
3) martingale method
鞅方法
1.
By supposing that the risk the contract may be terminated is not the risk of the system and using martingale methods and the pricing formula of the European contingent claim with stochastic lives,the pricing problem of two kinds of exotic options with stochastic lives is discussed,in which the underlying asset follows the Merton models.
假设合约被终止的风险为非系统风险,利用鞅方法和具有随机寿命的欧式未定权益的定价公式,讨论了标的资产服从Merton模型具有随机寿命的2种奇异期权的定价问题,得到了相应的定价公式。
2.
In the case when the interest rate is stochastic,which satisfies It stochastic differential equation,and suppose the stochastic factor affecting interest rate is related to the factor affecting stock price,the pricing formula of Call Option With Proportional Payoff under stochastic interest rates is deduced by applying the martingale method.
假定借贷利率是随机的,满足It型随机微分方程,并假定影响利率的随机因素与影响股票价格的随机因素相关,利用鞅方法推导了随机利率下减缩部分权利金的买权定价公式。
4) martingale approach
鞅方法
1.
By minimizing the absolute replication error,the optimal hedging volatility is yielded,namely the adjusted volatility,and then this adjusted volatility with martingale approach is integrated to achieve the optimal portfolio in presence of transaction costs and trading rest.
介绍了在完备市场下用鞅方法解决最优投资组合的问题。
2.
By martingale approach,Lundbery s fundamental equation is gotten and two effective applications of its solutions are presented.
考虑利率的随机性,通过标准布朗运动和泊松-几何过程来描述一类破产问题,利用鞅方法,得到了Lund-berg基本方程,并给出了其解的两个有效应用,从而得到了破产概率Ψ(u)和盈余首次到达某给定水平x(x>u)概率Ψx(u)的一般表达式。
3.
By martingale approach,Lundberg s fundamental equation is got and two effective applications of its solutions are considered.
利用鞅方法,得到了此情形下经典风险模型的Lundberg基本方程,并考虑了其解的两个有效应用,从而得到了破产概率、盈余首次到达某给定水平x(x>u)的概率、f(x,y0)及初始盈余u=0情况下破产时单位赔付现值的表达式。
5) martingale
[英]['mɑ:tiŋgeil] [美]['mɑrtṇ,gel]
鞅方法
1.
The Lundberg inequality and formula on the ruin probability are obtained by using the method of martingale.
从保险公司的经营实际出发,对已有的风险模型进行了推广,提出了一类多时段、多险种、带干扰且有累积投资收益的风险模型,并运用鞅方法给出了最终破产概率的Lundberg型不等式和一般公式。
2.
Under the circumstances of time-dependent interest rate r(t) of riskless asset,dividend payment of risk asset,time-dependent expected return μ(t),volatility σ(t) and dividend yieldρ(t),the authors use martingale to establish a pricing model of geometric Asian options with floating strike price.
利用鞅方法给出了在无风险资产有依赖时间参数的利率r(t)和风险资产支付红利,并且有依赖时间参数的期望收益率μ(t)、波动率σ(t)及红利率ρ(t)的情况下,几何型具有浮动敲定价格的亚式期权的定价模型。
6) Martingale methods
鞅方法
1.
The martingale methods and the joint distribution of the maximum with the terminal value of its underlying Brownian motion with drift were applied to varied barrier option driven by Ornstein-Unlenback process,thus a simple and effective piecing expressions was derived.
运用鞅方法和具有漂移布朗运动的最大值与其终值的联合分布理论对障碍期权的定价问题进行了简化,从而最终得到了指数O-U过程下变界障碍期权的定价公式。
2.
In this paper,we suppose the risk of the contract that may be terminated is not the risk of the system,by means of martingale methods and the pricing formula of European contingent claim with stochastic lives,the pricing problem of Payoff Segment Calls with stochastic lives is discussed which the underlying asset follows the Merton models and the corresponding pricing formulas are obtained.
假设合约被终止的风险为非系统风险,利用鞅方法和具有随机寿命的欧式未定权益的定价公式,讨论了标的资产服从Merton模型具有随机寿命的局部支付型权证的定价问题,得到了相应的定价公式。
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