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   风险中性概率测度 的翻译结果: 查询用时:0.358秒
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风险中性概率测度
相关语句
  risk neutral probability measure
     In the third chapter, we first explain the basic idea and convergent speed of Monte Carlo method, then, give the mathematical description for financial market, prove equivalence of non-arbitrage market, existence of risk neutral probability measure in the market and the price process of underlying asset is a martingale;
     第三章首先叙述了Monte Carlo方法的基本思想和有关其收敛速度的一些性质,然后从数学的角度给出了对金融市场的描述,证明了市场无套利、市场存在风险中性概率测度及标的资产价格过程为鞅的等价性;
短句来源
  “风险中性概率测度”译为未确定词的双语例句
     while the economic information generated by Brownian motion, the per unit of risk cost will converge to be equal, for all kinds of securities, and shows the relation by which security prices determine the interest rates.
     本文得到并证明的主要结论为,在风险中性概率测度观点下,各证券价格与经济单位随机可比财富的变化均具有鞅性,对于经济信息产生于Brown运动情形,各证券价格的单位风险成本趋于相等,给出了证券价格决定银行均衡利率的关系式。
短句来源
     Martingale is a method that today’s price of derivatives is equal to the discounted expectation of its future price if the future expectation is calculated with respect to the risk-neutral probability measure.
     通过鞅方法,在风险中性概率测度下,衍生证券的现在价格等于未来的期望收益的折现。
短句来源
     Pricing of European power options in multidimensional fractional Brown motion environment was investigated in the paper,pricing formulas about two kinds of European power options were obtained by using risk-neurtral valuation pricing formula,and last,the Put-Call parity for the power options was presented.
     本文主要讨论了标的资产受多个分数布朗运动影响的欧式幂期权定价问题:基于风险中性概率测度,给出了在有红利支付且无风险利率及红利率为非随机函数的情况下的两类欧式幂期权定价公式,并分别求出了涨跌欧式幂期权的平价关系.
短句来源
  相似匹配句对
     Nonparametric Estimation of the Risk-Neutral Process
     风险中性过程的非参数估计
短句来源
     Probability Calculation in Risk-Neutral Default Events
     风险中性违约事件中的概率计算
短句来源
     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
     enrolment risk;
     招生的风险;
短句来源
     suddenness risk.
     意外风险
短句来源
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  risk neutral probability measure
For example, in finance, the wavelet estimator is strongly consistent under the market probability measure as well as the risk neutral probability measure.
      
This results in a real world pricing formula under partial information that turns out to be independent of the subjective utility of the investor and for which an equivalent risk neutral probability measure need not exist.
      
The value of the mortgage equals the expectation, under the risk neutral probability measure, of the future cash flows.
      
This probability measure is called a risk neutral probability measure.
      


In the assumption that security markets are effectively competive, this Paper investigates the changes between security prices and interest rates, The principal conclusion Obtained by the paper is that, under risk-neutral probability measure, all kinds of security prices and discounted assets are martingale; while the economic information generated by Brownian motion, the per unit of risk cost will converge to be equal, for all kinds of securities, and shows the relation by which security prices determine the...

In the assumption that security markets are effectively competive, this Paper investigates the changes between security prices and interest rates, The principal conclusion Obtained by the paper is that, under risk-neutral probability measure, all kinds of security prices and discounted assets are martingale; while the economic information generated by Brownian motion, the per unit of risk cost will converge to be equal, for all kinds of securities, and shows the relation by which security prices determine the interest rates.

本文在假设证券市场为竞争有效市场的基础上,探讨投机市场证券价格与银行利率相互变化的规律。本文得到并证明的主要结论为,在风险中性概率测度观点下,各证券价格与经济单位随机可比财富的变化均具有鞅性,对于经济信息产生于Brown运动情形,各证券价格的单位风险成本趋于相等,给出了证券价格决定银行均衡利率的关系式。

The price of underlying assets follows a jump-diffusion process. We introduce the dynamic measure of risk to the incomplete market. We have acquired optimal replication of contingent claim in the auxilizar finance market which is induced by a risk neutral probability measure. With an application clark formula the paper provides the optimal hedging strategy for a contingent claim.

在标的资产价格服从跳跃 扩散过程模型中,在不完全市场引入一种动态的风险度量准则,在风险中性的概率测度诱导的金融市场上,对一种未定权益找到了在风险的动态度量准则下的最优复制,然后运用一般的Clark公式与Malliavin分析得到了最优的套期保值策略.

The price of underlying assets follows a geometric Brownian motion in the Black-Scholes model. If the finance market is complete this paper gives an accurate hedging strategy by another method. Then we introduce a dynamic measure of risk to the incomplete market, under which we have acquired the optimal replication of a contingent claim in the finance market which is induced by a risk neutral probability measare. With an application of a generalized Clark formula the paper provides the optimal hedging strategy...

The price of underlying assets follows a geometric Brownian motion in the Black-Scholes model. If the finance market is complete this paper gives an accurate hedging strategy by another method. Then we introduce a dynamic measure of risk to the incomplete market, under which we have acquired the optimal replication of a contingent claim in the finance market which is induced by a risk neutral probability measare. With an application of a generalized Clark formula the paper provides the optimal hedging strategy for a contingent claim.

在标的资产价格服从几何布朗运动的Black Scholes模型中,金融市场为完全市场时,给出一种精确的套期保值策略.然后在不完全市场引入一种动态的风险度量准则,在风险中性的概率测度诱导的金融市场上,对一种未定权益找到了在风险的动态度量准则下的最优复制,然后运用一般的Clark公式与Malliavin分析得到了最优的套期保值策略.

 
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