基于B-S模型的上证50ETF期权定价研究

针对已上市的上证50ETF期权定价问题,通过推导有红利的扩展Black-Scholes期权定价模型,并采用历史波动率法和GARCH模型两种方法计算期权价格的波动率,将波动率引入模型,使用MATLAB、EVIEWS软件,计算出不同波动率条件下上证50ETF期权的价格并与真实数据比较,发现GARCH模型能够使期权定价结果更准确.     

由一价律确定一类标的资产价格离散时期权的价格

本文利用构造等价资产、一价律,给出了一类离散价格标的资产的期权定价公式,揭示了这类标的资产期权价格的实际意义,同时也给出了利用结论指导如何进行期权的实际投资。     

随机市场模型下美式看跌期权的定价

文章讨论银行利率、期望收益率、分红率以及渡动率都是随机变量时美式看跌期权的定价问题,利用Fourier变换得出美式看跌期权的价格表达式,并给出有交易成本的美式看跌期权的定价公式.     

沪深300股票指数期权定价实证研究

针对中国尚未推出的沪深300股票指数期权,利用广义自回归条件异方差法和鞅方法等,使用EVIEWS软件,通过构建历史波动率模型和GARCH模型估计出标的指数的波动率水平,再利用通过鞅方法推导出的考虑股息率的扩展Black-Scholes期权定价模型对沪深300指数期权进行实证研究,计算出不同波动率水平下定期支付红利的欧式期权的理论价格。     

离散时间亚式期权定价模型的研究与推广

利用二阶矩法研究离散时间亚式期权定价模型,得到期权价格的表达式,并采用极限法,推出连续时间平均价格亚式期权定价的结论．本文还进行了应用分析,最后简单描述了期权价格与相关变量之间的关系。     

基于Lévy过程的永久美式封顶期权定价

对于永久美式封顶看跌期权,就是在永久美式期权的基础上加上了如下条件:当标的资产的价格达到合约规定的下限时,期权的出售方有权按执行价格与合约下限价格的差价来回购.本文将在标的资产价格的对数收益率遵从Lévy过程的条件下,对永久美式封顶期权进行定价研究.主要的思路是:将这个期权定价问题转化成为最优停止问题,运用Wiener-Hopf因子分解来寻找最优停止规则,进而得到该期权的定价结论 .     

股票价格遵循指数O-U过程的变界障碍期权定价

障碍期权是与路径相关的期权,因而它的定价计算是非常复杂的．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．     

跳扩散模型下外汇期权的模糊定价

基于汇率服从跳扩散过程下的外汇期权定价公式,将外汇价格和波动率、跳的高度模糊化,得到模糊环境下外汇期权的最大置信区间。     

以行业分类为基础的期权定价与实证分析

首先对布莱克-斯科尔斯期权定价模型和二叉树期权定价模型进行阐述、解析和比较,然后将理论应用于实践,以3个不同行业的9个公司的期权价格为例对2种期权定价方法进行实证检验.最后得出这2种模型的估计效果与哪些因素有关的结论以及它们在不同行业的适用性.     

关于欧式交换期权定价的研究

讨论在跳跃-扩散模理上某一类多资产型期权即欧式交换期权的定价问题,利用套期保值的方法求出了该期权价格所满足的带终值条件的随机微分方程,该方法还可用于推广得出其它多资产型期权(如商期权,蓝子期权)的B-S定价公式.     

卡思卡特城堡

It is worthy of noting that, whilst Crookston Castle witnessed the earlier and happier portion of Mary's variegated life,     

不同的吃喝玩乐

一、吃和喝吃苹果 eat an apple, 吃药 take medicine,吃糖 have some sweets,吃饭 have one's meals,吃馆子 dine out,吃惊 be surprised/     

漏洞百出的教育

Many college freshmen arrive woefully unprepared to do college work, and as disadvantaged populations continue to grow, the share of the American work force that has made it through college is expected to plummet. Many experts blame that educational failure not just on high schools but also on colleges. School & College, a special report by The Chronicle, looks at efforts to fix the system. What reforms would better prepare students for college? What should schools and colleges be doing differently? How should state and federal officials help?     

Western and Eastern culture differences in commercial field

The communication of people partially is the communication of cultures. Culture has a direct effect on international commercial activities in all aspects. Different conceptions about time, space, equality, law and the like, lead people to deal with things in different ways. So to know cultures of the counterpart is to facil-itate our enterprises so as to have a smooth and successful communication in commercial activity.     

只要努力,不要后悔

There are numbers of crossroads on our long and unpredictable life journey where we totally have no idea about which direction to choose. No matter what our decision is, we should not turn back, but face the music and go ahead instead. I am this kind of girl who always does try without regretting, one example is how I dealt with my love.     

浅谈移民问题

Migration occurs behind a variety of reasons and has a great effect on the whole world. People may migrate in order to improve their economic situation, or in order to escape civil strife, persecution, and environmental disasters. The impact of migration is complex, bringing both benefits anddisadvantages. This paper briefly talks about the causes of migration, the allocation of benefits, and the ways in which individual countries and the international community deal with this important subject.     

Sister Carrie, an Adherent of Desires

Sister Carrie is one of the most controversial characters in American literature.Thought as a "fallen woman" firstly,she was defined as a "new woman" by some critics later. However, by digging into the motivaton behind the whole process of Carrie's "success", the relationship between Carrie and her creator (the author), the social conditions of then American, it can be found that Carrie has never been free-standing on her thought and she has never found her real-sdf even after becoming a famous actress. In a society dominated by mass consumerism Carrie is only an adherent of her own desires. She also is a representative of all those country girls flooded into cities, a symbol and a sacrifice of the urbanization of America in a time countryside was overcome by cities.     

Improvement of one-cycle controller by use of proportional integral differential controller

1.IntroductionOne-cyclecontrolmethod,whichwasproposedaboutonedecadeago[1],hasbecomeanattractivemethodinspecialfieldssuchaspowerfactorcorrection[2-6],switchingamplifiers[7,8],etc.Themainideaofthiscontrollerisbasedonintegrationofdiodevoltageinone-cycleandforcesittobeexactlyequaltothereferencevalue.Themainadvantageofthiscontrollerisitsrealtimeabilitytorejectthevariationofinputvoltage[1].Despitethisgreatability,ithasnogoodperformancesinrejectingofloaddisturbanceandfollowingreferencecommands.Espec…     

风的曲线

Rosco and I wait for the fishermen to return.I sit at a wooden bench near the store at Mt.Baker Resort and watch the clouds change shape. Rosco has my belt around his neck and an eight foot tow chain hooked to a tree. Dogs must be on a leash. Ducks and rabbits are loose.