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   风险中性概率测度 在 数学 分类中 的翻译结果: 查询用时:0.057秒
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  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;
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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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