期权定价

本文主要研究RBF神经网络在期权定价中的应用。

This paper mainly studies the application of the RBF neural network in option pricing .

在新的市场假说下，本文提出了分形CEV模型，并导出了服从该模型的期权定价方程。

In this paper , a fractal CEV model is proposed , which is based on the fractal market hypothesis . Meanwhile , the option pricing formula obeying the fractal CEV model was derived .

标的资产具有超额峰度de二项式期权定价模型

Binomial Option Pricing in the Case of Excess Kurtosis of Asset Returns

二次扩散期权定价问题的Fourier变换分析

Fourier Transform Analysis for Option Pricing of Quadratic Diffusions

Lagrange方法和期权定价

The Lagrange Method and Option Pricing

Black-Scholes公式在期权定价理论中占有重要的地位，它成立的一个前提条件是假定波动率为常数。

The Black-Scholes model played an important role in option pricing theory .

基于不同借贷利率Black-Scholes模型的外汇期权定价

Pricing of Currency Options Based on Black-Scholes Models with Different Borrowing and Lending Rate

Black-Scholes期权定价模型在石油企业并购中的应用

Application of Black-Scholes option evaluation model to the mergers and acquisitions in petroleum enterprises

基于Black和Scholes关于期权定价的理论，可以得到衍生证券价格必须满足的微分方程。

Based on the Black and Scholes 's Option pricing theory , it has the differential equation the derivative security mast be according with .

讨论了股票价格过程遵循指数OU（ornstein＿uhlenback）过程的欧式期权定价问题。

The pricing European option on a stock whose price process is driven by exponential Ornstein_Uhlenback process is considered .

Black-Scholes期权定价模型

Black-Scholes Option Pricing Model

基于分形市场假说，本文对传统的CEV（constantElasticityofVariance）期权定价模型进行了改进。

Base on the fractal theory , improved the classic traditional option pricing model-CEV ( constant elasticity of variance ) model which is base on the efficient market hypothesis .

文章第三部分主要是解决运用LIBOR市场模型进行美式互换期权定价过程所要遭遇的具体问题。

The third part of the article is mainly to resolve pricing American swaption in the use of LIBOR market model .

本文针对BlackScholes期权定价的定价偏差，介绍了一种对该模型的改进模型，它是通过将gamma过程作为时变过程嵌入BlackScholes期权定价模型中的布朗运动来实现的。

This paper introduces a new modification to Black Scholes option pricing model for pricing biases correction by bringing gamma process into Brownian motion as the time change process .

Ornstein-Uhlenbeck过程下的奇异期权定价

The Pricing of Exotic Option under the Ornstein-Uhlenbeck Process

包括：（1）B-S期权定价模型在企业战略投资决策中的应用。

Includes : ( 1 ) The application of B-S option pricing model in enterprise strategy investment decision .

因此，众多学者放宽Black-Scholes期权定价模型的某些假设条件，提出许多新的期权定价模型。

Therefore , many scholars put forward many new kinds of option pricing models by relaxing some assuming conditions of Black-Scholes model .

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 .

首先，对经典的Black-Scholes期权定价模型进行了分析，并利用风险中性定价方法推导出了Black-Scholes期权定价公式。

Firstly , the article studies the classic Black-Scholes Option Pricing Model and concludes the Black-Scholes Option Pricing Formula with the Risk-Neutral valuation method .

随机利率下股票价格服从指数O-U过程的期权定价

Option pricing with the underlying stock price driven by Ornstein-Uhlenbeck process under stochastic interest rates

1973年是具有非凡意义的一年，Black和Scholes发表了获得1997年诺贝尔经济学奖的期权定价的文章，同年芝加哥证券交易所开始期权交易。

1973 is a very meaningful year , Black and Scholes published their paper of Option pricing which won the Nobel Prize , at the same year , Chicago Stock Exchange opens the Option trade .

一些比较成熟的数值计算方法对美式期权定价有局限性：如MonteCarlo模拟法是前导程序，而美式期权的边界是自由的，故MonteCarlo模拟法不能正确对其定价；

Some of relatively mature numerical methods cannot reasonably estimate American options . Because Monte-Carlo simulation is a forward induction procedure and boundary of American options is free , Monte-Carlo simulation is unable to correctly value American options .

方法改变Black-Scholes期权定价模型的基本假设，运用随机微分方程研究标的资产服从混合过程的期权定价。

Methods By changing basic assumption of Black-Scholes option pricing model , utilize the partial differential equation to study underlying asset pricing process which is mixed process .

本文给出Black-Scholes期权定价公式的两种简化的推导方法，使得仅仅具有微积分和概率统计知识的读者就能理解。

This text provides two kinds of simple methods of deriving Black-Scholes option pricing formula that enable those readers only with calculus and probability statistics knowledge to understand .

并应用神经网络B-P算法得到模型的参数，给出了一种新的期权定价模型。

The parameter of mixture gaussian distribute model is given by using the neural network B-P algorithm and a new option pricing mode is provided .

在风险中性的假设下，推导出了股票价格的跳过程为复合Poisson过程的欧式期权定价公式，推广了Merton的结果。

The formula of European option whose stock price with jump process is a compound Poisson process is deduced under the risk-neutral hypothesis , and it is extended that Merton option pricing model .

在比较了市场定价法、CAPM模型和期权定价模型等三种确定折现率的方法后，提出了适合我国目前实际情况的折现率确定模型。

After the comparsion of Market Pricing Method , CAPM Model and Option Pricing Model , a discount rate model which is suited to the current situation of China , is maded .

1973年，金融学家Black和Scholes，Merton等人进行了这方面的基础理论的研究，得出了现在被称为金融的第二次革命的期权定价公式（Black-Scholes公式）。

In 1973 , financial professor Black and Scholes , Merton were the basis of this theoretical study , obtained now known as the second revolution in financial option pricing formula ( Black-Scholes formula ) .

有效市场假说（EMH）是近30多年来经济学的核心命题之一，并从其引出资产定价、期权定价等重大经济理论。

Efficient Market Hypothesis ( EMH ) is the core proposition of economics in the last 30 years , and its extraction asset pricing , options pricing and other major economic theory .

在红利不等于零的情况下，证明Black-Scholes定价模型的解的存在唯一性更为复杂，而这一步是用非数值方法进行障碍期权定价的基础。

When the bonus rate is not zero , it is much more difficult to prove the uniqueness and existence of Black-Scholes pricing model , and this step is the base of non-numerical methods .