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1.
在分数Black-Scholes模型下,应用两点Geske-Johnson定价法推导连续支付红利为常数的美式看跌期权的近似公式.首先假定期权没有提前实施,其价格为对应欧式看跌期权的价格;再将期权的实施时刻指定为两个时刻,通过中性风险定价法推导价格公式,然后利用两点Geske-Johnson定价法得到美式看跌期权价格的近似公式.最后给出一个数值算例,结果显示Hurst参数和到期日对价格的影响.  相似文献   

2.
该文研究具有分数Ornstein-Uhlenbeck过程的永久美式看跌期权的定价问题.首先, 利用分析金融衍生品定价的delta对冲方法和无套利原理, 遵循标准的讨论步骤, 建立了标的资产价格服从分数Ornstein-Uhlenbeck过程的欧式看涨期权和看跌期权的定价公式.然后, 通过求解一个自由边界问题, 对标的资产价格服从分数Ornstein-Uhlenbeck过程的永久美式看跌期权的定价以及实施该期权时的临界标的资产价格给出了显式解.  相似文献   

3.
为得到分数Black-Scholes模型下美式期权价格的公式,文章以看涨期权为例,应用偏微分方程法,推导期权价格的积分方程式.由于美式期权的价格可分解为欧式期权的价格和由于提前实施需要增付的期权金,而提前实施期权金与最佳实施边界的位置有关,所以为导出最佳实施边界所满足的方程,文章首先研究分数Black-Scholes方程的基本解,然后建立美式看涨期权的分解公式,推导最佳实施边界适合的非线性积分方程,从而得到美式看涨期权价格的积分方程式.美式看跌期权价格的积分方程式类似得到.  相似文献   

4.
研究了有交易成本的分形Black-Scholes外汇期权定价问题.基于汇率的分形布朗运动分布假设,运用分形布朗运动的性质和随机微积分方法,得到了欧式外汇期权价格所满足的偏微分方程.最后,建立离散时间条件下的非线性期权定价模型,并且通过解期权价格的偏微分方程给出了有交易成本的欧式外汇期权定价公式.  相似文献   

5.
具有变系数和红利的多维Black-Scholes模型   总被引:8,自引:0,他引:8  
薛红  聂赞坎 《应用数学》2000,13(3):133-138
本文提出具有变系数和红利的多维Blach-Scholes模型,利用倒向随机微分方程和鞅方法,得到欧式未定权益的一般定价公式及套期保值策略,在具体金融市场,给出欧式期权的定价公式和套期保值策略,以及美式看涨期权价格的界。  相似文献   

6.
本文提出一种新型期权,称之为随机到期时刻的广义欧式期权.我们证明了新的期权是欧式期权和美式期权的推广.在市场为无摩擦且完备无套利的连续市场时,我们构建了两个理论模型,导出了广义欧式期权的鞅方法定价公式,在适当的条件下,证明了两个模型的结果是一致的.当随机到期时刻与标的资产价值不独立时,给出了几种情形下的广义欧式期权定价公式.针对利率、资产价格、到期时刻等随机因素,定义了两个具体市场模型,导出了在Vasicek短期利率模型下,标的资产价值服从一般It过程等的广义欧式期权定价公式.  相似文献   

7.
本文主要建立了次分数布朗运动下的期权定价模型,并且考虑了支付连续红利的情形.首先利用Wick-It?积分和偏微分方法得到了期权价格所满足的偏微分方程,然后经过变量替换转化为Cauchy问题,从而得到了支付红利的次分数布朗运动环境下的欧式看涨期权定价公式,相应地根据看涨看跌定价公式,得出欧式看跌期权定价公式.最后,对定价模型中的参数进行估计,并讨论了估计量的无偏性和强收敛性.  相似文献   

8.
双指数跳扩散模型的美式二值期权定价   总被引:1,自引:0,他引:1  
在股价满足红利连续支付的双指数跳扩散模型下,研究美式二值现金-无值看涨期权的定价问题.通过分解方法将其定价转化成求一个对应的永久美式期权价格和一个Cauchy问题的解,从而得到定价表达式.最后给出一个计算实例.  相似文献   

9.
首先在风险中性测度下建立股票价格的跳过程为Poisson过程,跳跃高度服从对数正态分布时股票价格的随机微分方程,利用期权定价的鞅方法推导得到了欧式重置看涨期权的价格以及一种创新的重置看涨期权的定价公式.最后给出了一个数值计算的例子,说明了创新的重置看涨期权价格要大于或等于传统的重置看涨期权和欧式看涨期权价格,并从理论上进行解释.  相似文献   

10.
在随机波动模型下,研究亚式期权的定价问题.推导出了标的资产及其随机波动模型的路径,利用对偶变量法对亚式期权进行数值模拟计算,并对随机波动模型下与B-S模型下的欧式期权和亚式期权定价结果进行比较,最后给出了具有固定敲定价格和浮动敲定价格的算术亚式期权的数值计算结果.  相似文献   

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12.
In this paper, we consider a stationary model for a nucleon interacting with the ω and σ mesons in the atomic nucleus. The model is relativistic, and we study it in a nuclear physics nonrelativistic limit. By a shooting method, we prove the existence of infinitely many solutions with a given angular momentum. These solutions are ordered by the number of nodes of each component.  相似文献   

13.
In this paper we consider a variational problem related to a model for a nucleon interacting with the ω and σ mesons in the atomic nucleus. The model is relativistic, and we study it in a nuclear physics nonrelativistic limit, which is of a very different nature than the nonrelativistic limit in the atomic physics. Ground states are shown to exist for a large class of values for the parameters of the problem, which are determined by the values of some physical constants.  相似文献   

14.
The purpose of this paper is to establish the necessary conditions for optimality of a controlled stochastic differential system without differentiability assumptions on the drift. We use an approximation argument in order to obtain a sequence of smooth control problems, and we apply Ekeland's variational principle to derive the associated adjoint processes. Passing at the Limit with respect to the stable convergence, we obtain a weak adjoint process and the inequality between Hamiltonians. This result is a generalisation of Kushner's maximum principle  相似文献   

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16.
A model-based estimator of a finite population total using a tobit model for a study variable is proposed. Formulas for its approximate bias, approximate variance and an estimator of the variance are given. Simulation results show situations of possible effective applications of the model. The study is supported by the Nordplus Neighbour program of the Nordic Council of Ministers.  相似文献   

17.
We study a projection-difference method for approximately solving the Cauchy problem u′(t) + A(t)u(t) + K(t)u(t) = h(t), u(0) = 0 for a linear differential-operator equation in a Hilbert space, where A(t) is a self-adjoint operator and K(t) is an operator subordinate to A(t). Time discretization is based on a three-level difference scheme, and space discretization is carried out by the Galerkin method. Under certain smoothness conditions on the function h(t), we obtain estimates for the convergence rate of the approximate solutions to the exact solution.  相似文献   

18.
This paper studies a real-life multi-attribute profit collecting vehicle routing problem, arising in the collection operations of a charity organisation in the United Kingdom. The problem involves a heterogeneous fleet of vehicles of different capacities, mandatory visits to a subset of vertices, time windows, rest requirements associated with maximum driving and working times, and partial collection. A mixed integer programming formulation of the problem is described, along with three matheuristics based on Tabu Search and Large Neighbourhood Search. Computational results on instances derived from the case study are presented, and insights are given from a practical implementation.  相似文献   

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20.
The aim of this article is to study the quasistatic evolutionof a Maxwell–Norton three-dimensional viscoelastic solidwith contact constraints. After introducing the appropiate functionalframework, we will discretize the problem in time using an implicitscheme whose resultant variational inequality is well posed.By using monotonicity arguments together with compensated compactnesstechniques, we will prove that the corresponding discrete solutionconverges to a solution of the continuous problem.  相似文献   

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