排序方式: 共有38条查询结果,搜索用时 62 毫秒
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把跳扩散过程引入到资产证券化的定价中,假设资产池中的第n个资产价值变化遵循dVn/Vn=(μn=λμπ)dt+σndWn+πdyt,给出了定价公式和蒙特卡洛模拟算法.与国内外现行的定价方法相比,理论上综合考虑了各资产的财务状况和外部金融环境对违约的影响,又便于实际计算. 相似文献
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The purpose of present work is to examine the financial problem of finding the universal reservation prices of a European call option written on exchange rate when there is proportional transaction costs of trading foreign currency in the market. An approach is suggested to compute the reservation bid-ask price of foreign currency call option based on maximizing the investor's expected utility. Option prices are determined from the investor's basic portfolio selection problem, without the need to solve a more complex optimization problem involving the insertion of the option payoffs into the terminal value function. Option prices are computed numerically in a Markov chain approximation for the case of exponential utility.Numerical results show that the option price bounds are almost independent of the alternative risk aversion parameter, but the bounds of NT region becomes narrower and the range of values of the initial holding for which the fair price lies within the bid-ask spread is shifted to a lower value when the risk aversion parameter increases. 相似文献
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商业银行激励费用分配的数学模型 总被引:1,自引:0,他引:1
研究商业银行激励费用分配问题,建立了激励费用分配的数学模型,并对模型进行了分析和求解。目前对激励费用分配问题尚缺少科学的系统研究,本文给出了处理该问题的一种理论依据,其方法和结论也可用于其它类似的问题。 相似文献
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一致凸Banach空间中非扩张映射的Ishikawa迭代 总被引:1,自引:0,他引:1
本文研究在一致凸Banach空间中,Ishikawa迭代的性质.在不假定C有界以及limsups_n<1的条件下,统一和推广了Reich~[9],Tan和 Xu~[11]的两个定理。 相似文献
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将分数阶微分理论引入图像放大模型中,利用全变分思想,提出了基于分数阶偏微分方程的图像放大模型.仿真实验结果表明:新模型能较好地保持图像边缘特征,以及更多的图像纹理信息,优于整数阶微分方程放大算法,是一种有效、可行的图像放大模型. 相似文献
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