2) martingale pricing method
鞅定价方法
1.
By applying the martingale pricing method in a world in which the logarithmic normal diffuse processes are expressed risk-neutral,we get European exchange rate call option related with the stock.
将对数正态扩散过程表达的随机过程转化为风险中性,并在此条件下用鞅定价方法推导出与股票相关联的欧式汇率买入期权的价格公式。
3) martingale pricing
鞅定价
1.
The paper used the Girsanov theory of stochastic analysis and the martingale pricing method,which was put forward by Harrison and Kreps in 1979,to induce the pricing equations for generalized reset bull call options and generalized reset bear put options.
本文借助随机分析中的Girsanov定理,运用Harrison和Kreps(1979)所提出的鞅定价方法求出一类推广的重设型牛市买权和熊市卖权的定价公式,并用模拟的方法对不同权证的避险功能进行了比较。
2.
Obtain the martingale pricing formulas and the insurance actuary pricing formulas to two kinds of mortgage insurance,and also prove that they go all the way when the unpaid money is a constant and the house price is driven by a genegal It process.
假设未偿付额为常数且房产价格服从一般的It过程,得到了2类住房抵押贷款保证险的传统鞅定价公式和保险精算定价公式,并证明了2种方法的定价结果是完全一致的。
3.
We study single-point-level reset options pricing problems by using the martingale pricing method and the probability distribution of extremes.
通过鞅定价方法并借助于极值的概率分布研究了单点水平重置期权的定价问题,并且得到了单点水平重置看涨期权与看跌期权的定价公式。
4) quasi-martingale pricing
拟鞅定价
5) 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。
6) 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。
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