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风险中性定价    
相关语句
  risk-neutral valuation
    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.
    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。
短句来源
    The Pricing Formulae of European Options with no Risk-neutral Valuation
    非风险中性定价意义下的欧式期权定价公式
短句来源
    An pricing formulas and hedging stratagem for European contingent claims with no risk-neutral valuation
    非风险中性定价意义下欧式未定权益定价及其套期保值策略
短句来源
    By using Black-Scholes' risk-neutral valuation principal , pricing formulae of some European contingent claims are deduced .
    在这种情形下,利用Black-Scholes风险中性定价原则,推导出了几种欧式未定权益的定价公式。
短句来源
    By means of Martingle approach(risk-neutral valuation) to get the pricing of the option.
    利用鞅方法定价(即风险中性定价)给出期权的价格。
短句来源
更多       
  risk-neutral valuation
    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.
    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。
短句来源
    The Pricing Formulae of European Options with no Risk-neutral Valuation
    非风险中性定价意义下的欧式期权定价公式
短句来源
    An pricing formulas and hedging stratagem for European contingent claims with no risk-neutral valuation
    非风险中性定价意义下欧式未定权益定价及其套期保值策略
短句来源
    By using Black-Scholes' risk-neutral valuation principal , pricing formulae of some European contingent claims are deduced .
    在这种情形下,利用Black-Scholes风险中性定价原则,推导出了几种欧式未定权益的定价公式。
短句来源
    By means of Martingle approach(risk-neutral valuation) to get the pricing of the option.
    利用鞅方法定价(即风险中性定价)给出期权的价格。
短句来源
更多       
  risk-neutral pricing
    Risk-Neutral Pricing Method for Credit Risk and Empirical Evidences from China
    信用风险中性定价方法及实证研究
    The basic theories of pricing interest rate derivatives include winner process, Ito process, martingale, differential equation as well as risk-neutral pricing, no-arbitrage principle and assets pricing theorem etc.
    利率衍生证券定价的基本理论主要有概率论,维纳过程,过程,鞅,微分方程以及风险中性定价、无套利原则、资产定价定理等。
短句来源
    From the broad definition of option, this paper derives the concept of real option. Further, based on theories of net present value, decision tree, and real options, the risk-neutral pricing theory is introduced.
    本文从广义的期权定义中引出实物期权的概念,从净现值、决策树和实物期权的比较着手,引入风险中性定价理论。
短句来源
    In detail we have made main conclusions as follows:(1)Under the hypothesis of exponential O-U model and constant interest rate ,using risk-neutral pricing principle, we obtain the pricing formulas of lookback option in two cases of fixed strike price and floating strike price,and the put-call parity relation is deduced;
    (1)在股票价格服从指数O-U随机过程,利率为常数的模型假设下,利用风险中性定价原则,分固定履约价和浮动履约价两种情形,得到了回顾型期权的定价公式,并分别给出了买权和卖权的平价关系;
短句来源
    In this paper,we design two path-dependant reset options in the Black-Scholes model,and get the analytical formulas of the prices by virtue of risk-neutral pricing theory.
    本文在标准的Black-Scholes框架下,设计了两种路径依赖重置期权。 并利用风险中性定价方法讨论了定价问题,得到了价格的解析表达式。
短句来源
更多       
  risk neutral pricing
    A Comparison between Capital Assets Pricing Model and Risk Neutral Pricing Theory
    资本资产定价模型与风险中性定价理论的比较
短句来源
    This paper is based on the suppose of Black-Scholes. By using the risk neutral pricing theory of option and analysising the martingale property of the asset value process, we construct the model of the value of barrier options.
    本文基于连续时间模型,运用期权的风险中性定价理论,通过分析资产价格过程鞅的性质,建立了障碍期权价值的数学模型。
短句来源
    Thirdly, Pricing EIA Under the Credit Risk(First Part). In this chapter, we get the pricing and reserve structure under the point to point index method, assuming that rate of recovery is 1.We use the risk neutral pricing, risk minimizing strategy, percentile principle etc.
    第三章考虑信用因素时EIA的定价(上),给出了点对点指数法下,回收率为1时EIA的定价及准备金公式,主要运用了风险中性定价、风险最小化策略和分位数原理;
短句来源
    Based on the risk neutral pricing princple and property of martingale,this paper presents an optimizaion programming for perpetual American options.
    本文指出了一种特殊的期权——永久美式期权 ,根据风险中性定价理论和鞅的性质 ,给出了一种定价方法。
短句来源
    Through the stochastic discount factor model, it is easy to understand some classical problems of modern finance, such as arbitrage pricing theory and risk neutral pricing, etc. Asset pricing models are unified under the stochastic discount factor frame.
    现代金融学的许多经典问题,如套利定价原理以及风险中性定价等都可以用随机折现因子模型理解,随机折现因子模型是资产定价模型的统一框架。
短句来源

 

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  risk-neutral valuation
Risk-neutral valuation is discussed and a simple jump-diffusion model is chosen to illustrate the results.
      
Valuing executive stock options is a challenging problem, because the standard risk-neutral valuation of those options is not appropriate; the executive is not allowed to trade the stock of the firm, so is not operating in a complete market.
      
As this paper shows, an executive holding many American-style call options on his firm's stock will optimally exercise the options bit by bit, whereas a risk-neutral valuation of the options would assume that all are exercised at the same time.
      
Dual ones allow us to extend the risk-neutral valuation methodology for imperfect and noarbitrage free markets and provide new interpretations for the measures in terms of "frictions effect" or "committed errors" in the valuation process.
      
The risk-neutral valuation formula for path-dependent options contingent upon multiple underlying assets admits an elegant representation in terms of path integrals (Feynman-Kac formula).
      
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