标准期权
- 网络Standard options;vanilla option
![标准期权](../cache/45967.jpg)
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就标准期权而言,CEV与Black-Scholes模型之间的相关量相对较小。
We find that the prices of barrier options for the CEV process deviate significantly from those for lognormal process . For standard options , the corresponding differences between the CEV and Black Scholes models are relatively small .
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在金融市场中,障碍期权可以把投资者的收益和风险控制在一定范围之内,其价格也比标准期权便宜,因此受到广大投资者的欢迎。
In the financial markets , barrier option can put investors ' returns and risk in certain limits , and the price is cheaper than standard options , so they are welcome by the investors .
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自从上个世纪70年代初,B-S期权定价公式出现以后,期权市场得到了迅猛发展,在标准期权的基础上,衍生出了各种各样的奇异期权。
Since the appearence of B-S pricing formula at the beginning of 1970 's , the option market has been developed quickly . On the base of standard option , many exotic options are derived .
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本文利用不同的方法研究标准期权和奇异期权的定价,一种方法是倒向随机微分方程方法,一种是Monte-Carlo方法。对标准欧式期权和两种典型的奇异期权进行数值计算并加以比较。
One approach is Backward Stochastic Differential Equations methods , the other one is the Monte-Carlo method . It calculates Standard European options and two kinds of exotic options with both of the methods , and then compares the results for these two methods .
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由于亚式期权具有强路径依赖性,所以其风险要小于标准期权,那么,价格也要低于标准期权。
Because of strong path dependence , compared with European Option , the price of Asian Option is cheaper .
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可转换债券所含负债与权益的分叉处理法及其案例分析&基于标准期权定价模型的预期价值法
A Bifurcation Approach for the Liability Equity in Convertible Bond and Case Analysis An Expected Value Method Based on the Standard Option Pricing Model
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近年来,国际金融衍生市场涌现出标准期权派生出的新品种,其中路径相关期权由于其最终受益与整个有效期标的资产价格的变化有关而得到了更多的关注。
Among those new derivatives , the path-dependent option has attracted more attention ascribed to the relationship between their ultimate benefit and the underlying assets price changes .
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国际金融衍生市场除了人们熟知的欧式期权和美式期权之外,还涌现出了大量由标准期权衍生出的新型期权。
Recently , in addition to known European options and American options , there appear many new varieties which are evolved from vanilla options in international financial market .
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由于亚式期权定价模型中涉及到了股票价格的算术平均和几何平均,这使得在适用保险精算定价方法时比标准期权有些困难。
Because of the arithmetic average and geometric average of the stock price in the Asian options pricing model , there are much more difficult in the pricing process .
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障碍期权由其定义决定了它价格要比一般的标准期权价格要低得多,但是它在商品和金融产品投资中能起到很好的避险效果。
The price of barrier option is much more cheaper than the normal option , but it can still take good effect in the investment of commodity and financial product .
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算例表明该文所提出的脆弱期权相比布莱克-舒尔茨标准期权定价公式在价格上进行了缩减,有效地为电力公司提供了损失保护。
Numerical example showed that the vulnerable option price is less than the Black-Scholes option price under the same condition , and that is mean the utilities can gain some loss protection in advance .
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因为这些奇异期权实际上是标准期权的创新,因此和标准期权也有很大的关系。
The reason it calculates the traditional European options is that most of exotic options are the innovation from the tradition ones , therefore the exotic options and the standard ones have a great relationship .
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为了满足金融市场及不同的投资者的特殊需求,也为了防范自己所面临的风险,在标准期权合同的基础上,人们运用期权理论和分析方法,设计创造出各种具有不同特征的变异期权品种。
On the foundation of standard contract , more different characteristics exotic finance derivatives were designed in order to satisfy the finance market and the different investor especial needs and keep away the risk which many investors might face .
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标准期权在到期日的价值与路径无关,只依赖于到期日的标的资产价格,因而难免有人操纵到期日的价格来从中套利。
The value of the Standard options has nothing to do with the path , it relies only on the price of underlying assets on expiration date , so it is difficult to prevent people from manipulating the price on the expiration date to practice arbitrage [ 2 ] .
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经典Black-Scholes公式已经给出标准欧式期权的解析公式。
Black-Scholes equation has given the analytical formula of standard European options .
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第二章,主要介绍了标准欧式期权的定价(Black-Scholes定价模型)。
In chapter 2 , the pricing problems of vanilla European options are introduced ( Black-Scholes pricing model ) .
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1973年,Black与Scholes给出了标准的期权定价方程,简称为B-S方程,后来Merton给出了期权价格的显式解。
In 1973 , Black and Scholes gave the standard option pricing equation , B-S Equation for short . Then , Merton gave its explicit solution .
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应用标准实物期权定价方法进行不确定性投资分析时,一般不考虑企业相互间竞争影响,孤立地制定其最佳执行策略。
In the uncertainty analysis of investments based on future rights of standard materials , the effects of competitions between enterprises are generally ignored .
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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;
In the paper , firstly , the pricing model of Black-Scholes option and rainbow option are introduced ; secondly , it is gained that is rainbow option pricing model with Transaction Costs , then , the pricing formula is proved .
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结论表明:著名的BlackScholes期权定价公式是我们所得到的定价公式的特殊情形;与标准的欧式期权相比,幂函数族之权证具有降低权利金和易于避险的功能。
Closed solution and simulation are gained , which induced that the Black-Scholes formula ( 1973 ) is the special case and Power-Function Options are benefit to low premium and hedging compared the European options .
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但是,该模型下的新产品投资又存在诸多独有的特点,这些独有特征致使Bass模型下新产品的投资决策问题又有与标准的实物期权理论中研究问题的不同之处。
However , new product investment under Bass model has many unique features , these unique features lead to new product investment decision-making questions under Bass model to be different with the standard real options theory research .
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最后,研究了两种非标准经理股票期权(重置经理股票期权和指数经理股票期权)的价值评估。
And , finally is the evaluation of two non-standard executive options .
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征地补偿标准的实物期权分析
The Standard of Compensation for Rural Land Expropriation : A Real Option Analysis
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第二部分是项目价值评价,利用标准的实物期权分析方法得出了两个项目的独立投资机会及项目组合的价值评价。
In the second part the value of projects is evaluated by using a standard real options analysis which gives two separate projects and portfolio assessment .
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建立了期权稳健定价模型,给出了欧式看涨和看跌期权的稳健定价公式,并用标准普尔500指数期权的做市商买入价和卖出价数据进行了实证研究。
The robust option pricing model and the closed-form solution are given . Empirical performance of the model is studied by using data of S & P 500 index option .
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根据标准定价模型,我们发现经理股票期权具有股票价格增加激励效应、风险增加激励效应、股利率降低激励效应,我们还对卜一标准股票期权和非标准股票期权的激励效应进行了比较分析。
From that we find that executive option has stock price increase incentive effect , risk increase incentive effect and bonus rate decrease incentive effect .