分数维Vasicek利率模型下的欧式期权定价公式

假定股票价格和利率的运动过程服从几何分数维布朗运动,利用风险对冲技术,分数维布朗运动随机分析理论与偏微分方程方法,得到了分数维Vasicek随机利率下欧式期权所满足的定价方程,获得了波动率是对间函数的情形下欧式看涨和看跌期权的一般定价公式以及它们的平价公式.     

屏蔽数据情形下几何平均亚式期权定价模型

通常情况下,前人的工作都是连续情形下的结论,假定股票价格部分信息被屏蔽,只在有限的时刻点上股票价格是明确已知的.在此假设之下,尝试考虑几何平均型亚式期权定价问题.利用拟-鞅的方法,建立了分数布朗运动环境下亚式期权定价模型,获得了离散情形几何加权平均亚式期权价格的解析表达式.     

分数跳-扩散环境下几种新型期权定价模型

假定股票价格遵循分数跳-扩散过程,利用公平保费原则和价格过程的实际测度,获得几种新型期权——欧式看涨幂期权、欧式上封顶及下保底看涨幂期权定价公式.对期权定价模型进行了推广.     

An efficient algorithm for Bermudan barrier option pricing

An efficient option pricing method based on Fourier-cosine expansions was presented by Fang and Oosterlee for European options in 2008,and later,this method was also used by them to price early-exercis...     

基于鞅方法下分数布朗运动欧式回望期权的定价

利用分数布朗运动研究了一种强路径依赖型期权—回望期权的定价问题.首先列出了有关的定义和引理;其次利用该定义和引理建立了分数布朗运动情况下的价格模型,通过鞅方法,得到了回望期权价格所满足的方程;最后分别给出了看跌回望期权和看涨回望期权的定价公式的显式解.     

面料服用性能优选的多属性模糊决策

织物面料服用性的优选对于服装市场的开发至关重要 .本文以一组丝绸面料为例 ,根据影响服用性能的主要因素 ,运用多属性模糊决策的方法 ,对不同品种的面料进行优选.     

Estimating the Firm Value Distribution Function by Entropy Optimization and Geometric Programming

By applying the option pricing theory ideas, this paper models the estimation of firm value distribution function as an entropy optimization problem, subject to correlation constraints. It is shown that the problem can be converted to a dual of a computationally attractive primal geometric programming (GP) problem and easily solved using publicly available software. A numerical example involving stock price data from a Japanese company demonstrates the practical value of the GP approach. Noting the use of Monte Carlo simulation in option pricing and risk analysis and its difficulties in handling distribution functions subject to correlations, the GP based method discussed here may have some computational advantages in wider areas of computational finance in addition to the application discussed here.     

欧式复合期权的定价公式

本文根据风险中性定价原理,用较简单的数学方法推导出了股票欧式复合期权的定价公式。该公式和求解B lack-Scho les微分方程所得结果一致。     

HIGHER ORDER THEORY ACROSS A THREE DIMENSIONAL AXIALLY-SYMMETRICAL CURVED SHOCK NEAR THE STAGNATION POINT

The next order conditions across a three-dimensional curved shock near stagnationpoint have been established,including the effects of heat conduction,viscosity and the shockstructure.These shock conditions involve the local shock curvature in addition to its localinclination.Explicit results have been obtained for the correctional formulations in themass flux across the shock,the stagnation enthalpy,the tangential component of velocityand the normal component of momentum flux.     

Wasserstein分布鲁棒期权定价

In this paper, the option pricing problem is formulated as a distributionally robust optimization problem, which seeks to minimize the worst case replication error for a given distributional uncertainty set(DUS) of the random underlying asset returns. The DUS is defined as a Wasserstein ball centred the empirical distribution of the underlying asset returns. It is proved that the proposed model can be reformulated as a computational tractable linear programming problem. Finally, the results of the empirical tests are presented to show the significance of the proposed approach.