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风险中性     
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  risk-neutral
     Based on reference [2] and using equivalent martingale or the risk-neutral nature, the author reaches exciting conclusions, which are similar to the Black-Scholes option pricing formula and Merton option pricing formula.
     着重研究了保险期权的欧式期权与永久性美式期权定价,并在文献[2]基础之上,根据等价鞅或风险中性性质获得了比较令人兴奋的结论——类似于Black-Scholes期权定价公式与Merton期权定价公式。
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
     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
     This paper applies the principle of real options to analyzing the influence of uncertainty upon the valuation and decision-making of project investment,quantifies the influence by means of risk-neutral probability approach and offers further explanations to current investment behavior.
     本文运用实物期权原理分析了不确定性对项目投资评价和决策的影响,通过风险中性概率方法将这些影响予以定量化,并进一步对实际投资行为作出了解释。
短句来源
     Based on risk-neutral valuation theorem and Standard Black-Scholes environments, we presented closed-form analytical pricing formulae for a general type of European exchange options, consequently, which yield the price of the European exchange options and the Black-Scholes options.
     基于风险中性(等价鞅测度)定价理论和经典的Black-Scholes市场环境,我们给出了更一般情形下的欧式交换期权(ExchangeOption)封闭形式的解析定价公式,进而得出了欧式交换期权的价格公式、Black-Scholes期权定价公式.
短句来源
更多       
  risk neutral
     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
     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
     The world of risk neutral is an imaginary world in which the expected return rate of all risky assets equals to risk-free return rate.
     风险中性的世界是一个假想的世界,在风险中性世界中所有风险资产的预期收益率等于无风险收益率。
短句来源
     Even if the bidders are risk neutral,so that there is no need for risk sharing,the DoD is still need a tradeoff between stimulating competition in the wining firm incentives to limit its costs.
     即使在双方为风险中性不需要风险分担时,DoD仍然需要在最初的投标竞争与中标后承包商降低成本行为之间进行权衡。
短句来源
     In the model, one supposition is that the negotiant is risk neutral and rational. The other supposition is that the investors especially individual investors who acquire real information are irrational. We found irrational herding model of individual investors with the securities transaction mechanism and Baye as well as the utility function of the information gainers.
     在模型中假设做市商风险中性且理性、知情投资者尤其是个人知情投资者为非理性,通过证券交易机制和贝叶斯学习过程以及建立非理性知情投资者的效用函数来建立非理性影响下的个体投资者羊群效应模型,得到不同情绪状态和对信息反应程度下个体投资者卖出羊群效应发生的条件。
短句来源
更多       
  risk neutrality
     By the use of risk neutrality measure, martingale law, Girsanov theorem and multidimensional normal distribution, this article discusses the pricing of options with constant interest rate or stochastic and the pricing of foreign exchange reset options under jump-diffusion models. Finally, this article demonstrates the simulation under jump-diffusion models using the finite difference method and obtains some valuable results.
     本文通过定义跳跃—扩散模型下的风险中性测度,利用鞅方法、Girsanov定理和多维正态分布着重讨论了利率为常数、利率随机情况下的期权定价以及外汇重置期权的定价问题,最后利用有限差分方法给出了跳跃—扩散模型下期权定价的数值模拟,得到了一些有价值的结果。
短句来源
     Firstly, we establish the money market model under jump-diffusion models, risk neutrality measure, equivalent martingale, then get the pricing formula using Girsanov theorem.
     我们首先建立跳跃—扩散模型下的金融市场模型,建立风险中性测度以及等价鞅测度,然后利用Girsanov定理非常巧妙的得到了期权定价公式。
短句来源
     Secondly, briefly introduced the current three kind of Real Option pricing method——Partial Differential Equation, Dynamic Programming Approach, and Simulations, and carried on the adjustment and the revision of the Option Pricing Model from the view of duplication error and the risk neutrality supposition.
     然后简要介绍了当前实物期权的三种定价方法——偏微分法、动态规划法和模拟法,并从复制误差和风险中性假设两个角度对定价模型进行了调整和修正。
短句来源
     A model of resisting the moral hazard in the medical insurance field is set up based on the incentive theory,and the different incentive mechanisms of the model are discussed in three different conditions,namely the complete information condition,the incomplete information condition with the(agent's) risk neutrality and the incomplete information condition with the (agent's) risk aversion.
     从激励理论的角度建立了医疗保险领域道德风险的防范模型. 并就完全信息状态下、不完全信息状态下代理人风险中性及不完全信息状态下代理人严格风险厌恶这3种情况,对模型进行了讨论.
短句来源
  neutral risk
     The author expounds arbitrage pricing theory, its application in the financial market and its consistency with neutral risk pricing method. This theory, which is based on EMH, uses equilibrium methodology to establish the relationship between supply and demand.
     在阐述套利定价理论的基本内容的同时 ,分析了这一理论方法应用于金融商品定价的基本思路以及它与风险中性定价法的一致性 ,指出套利定价理论是以市场有效为基础 ,反映了所有商品供给与需求关系的一种均衡价格方法论。
短句来源
     And we discuss this problem in detail in case of bidders are: risk neutral, risk aversion, and risk seeking.
     进一步,针对投标人为风险中性、风险寻求和风险厌恶三种情况进行了具体讨论.
短句来源
     At the same time, no arbitrage principle strongly correlated with neutral risk supposition.
     无套利原理与风险中性假设也是紧密联系在一起的。
短句来源

 

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  risk-neutral
Generally, The risk-neutral default intensity λQ is not equal to the empirical or actual default intensity λ.
      
We show how the introduction of global uncertainty reduces the investment of the risk-neutral entrepreneur and, even more, that of the risk-averse one.
      
We show that Yaari's dual theory of choice under risk may be derived as an indirect utility when a risk-neutral agent faces financial imperfections.
      
Immediately one's attention is drawn to the opportunity costs that arise for the risk-neutral shareholders who prefer that agents maximize their returns.
      
Interpreting Implied Risk-Neutral Densities: The Role of Risk Premia
      
更多          
  risk neutral
We show that in such situations a risk neutral distributor can offer a menu of mutually beneficial contracts to the retailers.
      
[2005] had examined this problem, their assumption implied that the insured is risk neutral.
      
Shareholders are considered risk neutral in their preferences for individual firms.
      
The statistical and risk neutral densities are estimated for data on the S >amp;amp; P500 Index and the prices of options on this Index.
      
It is observed that the statistical density is symmetric with some kurtosis, while the risk neutral density is negatively skewed with a larger kurtosis.
      
更多          
  risk neutrality
This paper investigates the properties of this "double liability" rule under risk neutrality and risk aversion of the parties.
      
The analysis applies to asymmetric environments as well and does not require risk neutrality.
      
It is shown that this restriction on constant risk aversion permits the description of a wide range of risk averse patterns between the extreme cases of risk neutrality and the exclusive orientation on the pessimistic maxmin criterion.
      
The optimality of debt contracts, which Diamond obtained for the case of risk neutrality, is shown to be nonrobust to the introduction of risk aversion.
      
Last, we find that, with bi-lateral risk neutrality, the seller always awards the good to the uninformed bidders thereby keeping all the surplus.
      
更多          
  neutral risk
The optimal information-seeking strategy is evaluated for a neutral risk taker.
      
After investigating a neutral risk behaviour towards probability games, conclusions resulting from the extended Bernoulli principle are drawn, if preference orders are also required to follow a metric principle.
      
  其他


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 optimal incentive scheme under information asymmetry is analyzed.The risk and the agent's attitude towards the risk are the two main factors that determine the mode of incentive scheme.The principal can get the maximum profit by leasing the firm,if and only if the agent is risk neutral.Otherwise the principal will incur a certain loss,and the loss increases as the risk and the agent's risk aversion increase.Some strategies the principal may adopt to improve his situation are further pointed out.

研究了在信息不对称条件下的激励机制.分析表明,此时影响激励机制的主要因素是风险和经理对风险的态度.有且只有经理是风险中性时,所有者可以通过出租企业得到最大的利润.否则所有者将蒙受一定的损失,并且这种损失随着风险以及经理对风险回避程度的增加而增加.最后,本文进一步提出了所有者可能采取的对策

This paper studies the optimal incentive scheme with opportunism behavior,and compares with the optimal incentive schemes with and without it.The result is:if and only if the agent is risk neutral,can the principal get the maximum profit by leasing the firm and the opportunism behavior is eliminated.Otherwise,this behavior is unavoidable.It lowers the profit of the principal,and is thus harmful to the principal's benefit.The fundamental way to eliminate opportunism and lower its affect is by enhancing the incentive...

This paper studies the optimal incentive scheme with opportunism behavior,and compares with the optimal incentive schemes with and without it.The result is:if and only if the agent is risk neutral,can the principal get the maximum profit by leasing the firm and the opportunism behavior is eliminated.Otherwise,this behavior is unavoidable.It lowers the profit of the principal,and is thus harmful to the principal's benefit.The fundamental way to eliminate opportunism and lower its affect is by enhancing the incentive intensity.

研究了经理行为中存在机会主义时的激励机制,并与不存在机会主义时的激励机制进行了比较.有且只有经理为风险中性时,所有者才能通过出租企业得到最大的利润,此时不存在机会主义行为.否则,机会主义行为的存在是不可避免的.该行为的存在使得所有者的所得少于不存在该行为时的所得,因此该行为是不利于所有者的行为.要从根本上消除该行为只能通过提高激励程度.

 
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