关于Black-Scholes期权定价模型的证明

lack-Scholes期权定价模型是20世纪70年代以来金融理论发展的最重要的基石,但是在各类文献中却几乎没有关于它的详细、准确的证明.本文将有关文献中出现的错误加以更正,并优化了证明过程,给出一个关于Black-Scholes期权定价模型严格的数学证明.     

有交易费用的彩虹期权定价模型的研究

通过在对标准欧式期权和彩虹期权定价模型的研究，推导出有交易费用的彩虹期权定价公式，并证明了该公式的合理性；随后又运用了二叉树方法求出其近似解．     

用径向基函数方法求解 债券看跌期权定价模型

用一种新的数值解法－－径向基函数方法（ＲＢＦｓ法）,特别是Ｈａｒｄｙ的多二次方法（ＭＱ法）,来近似求解债券看跌期权定价模型,并给出了计算实例。     

O-U过程模型下定额期权的定价

在风险资产价格服从O-U过程模型的假设下,利用Girsanov定理证明了市场中等价鞅测度的存在性和唯一性,从而得证市场是完备市场.利用鞅定价理论给出了定额期权的定价公式,这对市场参与者有一定的指导意义.     

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.     

风险中性假设下的连续二叉树模型的期权定价公式

本文在风险中性假设的基础上,对n期二叉树模型下的欧式看涨期权公式进行了重新完整的推导,并对当n趋向无穷大时的极限情况给出详细的证明     

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。     

基于Black-Scholes期权定价模型的企业集团投资决策分析

随着经济全球化进程的深入发展,企业集团化成为大型企业的理性选择。由于企业集团组织结构的特殊性,其直接投资呈现出多主体、多元化和多层次的特征,对企业集团投资的评价,已不适宜用传统的净现金流量法。通过引入期权理论,应用经典的Black-Scholes期权定价模型,计算企业集团投资的市场价值,并对投资过程进行动态控制,以期达到企业集团投资决策的整体最优化目标。     

随机利率模型下几何平均亚式期权定价的新解法

在Hull-White利率模型下,利用偏微分方程基本解方法和Fourier变换分别得到了具有固定敲定价格和具有浮动敲定价格的几何平均亚式期权的定价公式.     

两类跳扩散模型的双币种期权定价

在股价和汇率都服从跳扩散模型下考虑了双币种期权定价.利用测度变换,Fourier反变换得到一般跳扩散模型的欧式看跌期权定价显示解.给出正态和双指数分布情形时跳扩散模型的双币种期权定价.通过实例计算,对正态和和双指数2类跳扩散模型的相应结果进行比较.     

广义双指数跳扩散模型的欧式期权定价

推广了Kou等人提出的双指数跳扩散模型,建立了更具解释灵活性的广义双指数跳扩散模型,应用鞅方法,测度变换、线性变换等方法推导出了广义双指数跳扩散模型下的欧式期权定价公式.     

教育研究中选项排序的统计方法

对多项教育指标进行排序统计在教育研究领域中有广泛的用途,但常见的统计方法存在一些问题。本文在态度测量基础上,借鉴瑟斯顿配对比较的原理,给出了选项排序的统计方法,同时提供了课堂教学观察视角排序的应用实例。     

Risk management of stock index futures

The Hong Kong Hang Seng index futures is taken as a study object and a method of empirical analysis is adopted in order to verify the validity of the application of the value-at-risk (VaR) method in the risk measurement of the stock index futures market. The results suggest that under normal market conditions it is feasible to apply the VaR method in the measurement of the market risks of stock index futures. The daily VaR value of the stock index futures provides a foreseeable profit and loss of the stock index futures. Financial supervisors can adjust their supervising strategies according to the daily VaR value. The speculators can adjust risk capital reserve rates in the same way. The application of this method in China's stock index futures market requires the solutions to specific problems: the absence of historical data, the difficult confirmation of non-risk interest rates etc.     

双平均亚洲期权定价问题的Legendre谱方法

Abstract In this paper, the evaluation of discretely sampled Asian options was considered by numerically solving the associated partial differential equations with the Legendre spectral method. Double average options were discussed as examples. The problem is a parabolic one on a finite domain whose equation degenerates into ordinary differential equations on the boundaries. A fully discrete scheme was established by     

外汇汇率买入的带跳扩散股票的期权定价

通过建立股票价格服从带跳扩散过程的随机微分方程和外币汇率的随机微分方程,研究与之相关联的欧式期权定价问题,并通过鞅定价方法推导出买入欧式期权的定价公式。     

定价多资产美式期权的半线性Black-Scholes偏微分方程的唯一解

In this paper, by using the optimal stopping theory, the semilinear Black-Scholes partial differential equation （PDE） was invesigated in a fixed domain for valuing two assets of American （call-max/put-min） options. From the viscosity solution of a PDE, a unique viscosity solution was obtained for the semilinear Black-Scholes PDE.     

Improvement of enamel bond strengths for conventional and resin-modified glass ionomers: acid-etching vs. conditioning

Objective:This study deals with the effect of phosphoric acid etching and conditioning on enamel micro-tensile bond strengths(μTBSs)of conventional and resin-modified glass ionomer cements(GICs/RMGICs).Methods:Forty-eight bovine incisors were prepared into rectangular blocks.Highly-polished labial enamel surfaces were either acid-etched,conditioned with liquids of cements,or not further treated(control).Subsequently,two matching pre-treated enamel surfaces were cemented together with one of four cements[two GICs:Fuji I(GC),Ketac Cem Easymix(3M ESPE);two RMGICs:Fuji Plus(GC),RelyX Luting(3M ESPE)]in preparation forμTBS tests.Pre-treated enamel surfaces and cement-enamel interfaces were analyzed by scanning electron microscopy(SEM).Results:Phosphoric acid etching significantly increased the enamelμTBS of GICs/RMGICs.Conditioning with the liquids of the cements produced significantly weaker or equivalent enamelμTBS compared to the control.Regardless of etching,RMGICs yielded stronger enamelμTBS than GICs.A visible hybrid layer was found at certain enamelcement interfaces of the etched enamels.Conclusions:Phosphoric acid etching significantly increased the enamelμTBSs of GICs/RMGICs.Phosphoric acid etching should be recommended to etch the enamel margins before the cementation of the prostheses such as inlays and onlays,using GICs/RMGICs to improve the bond strengths.RMGICs provided stronger enamel bond strength than GICs and conditioning did not increase enamel bond strength.     

Analysis of structural response under blast loads using the coupled SPH-FEM approach

A numerical model using the coupled smoothed panicle hydrodynamics-finite element method （SPH-FEM） approach is presented for analysis of structures under blast loads. The analyses on two numerical cases, one for free field explosive and the other for structural response under blast loads, are performed to model the whole processes from the propagation of the pressure wave to the response of structures. Based on the simulation, it is concluded that this model can be used for reasonably accurate explosive analysis of structures. The resulting information would be valuable for protecting structures under blast loads.