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brownian movement
相关语句
  布朗运动
    Black and Scholes put forward for European option a price formula, in which stock price is subject to Geometry Brownian movement in a non-arbitrage analysis framework.
    Black & Scholes假设股票价格服从几何布朗运动,在一个无套利的分析框架下给出了欧式期权价格的定价公式。
短句来源
    The Non—Markov Effect of Brownian Movement
    布朗运动的非马尔可夫效应
短句来源
    When we study stock market, we usually think that the model of stock price obeys Brownian movement, which log-return characterize normal distribution.
    我们研究股票市场价格时,通常认为股票价格模型服从布朗运动,即对数收益率是正态分布的。
短句来源
    It based on below basic supposition, (1) the primary property prices obey the geometry Brownian movement(2) non- risk interest rate r is constant, (3) the primary property does not pay the dividend, (4) not to pay the transaction cost and the tax revenue, (5) no the chance of arbitrage.
    它基于以下的基本假设: (1)原生资产价格服从几何布朗运动(2)无风险利率r是常数. (3)原生资产不支付股息.
短句来源
    By studying the stock market, however, many researchers discover that the stock prices do not obey the geometry Brownian movement, i.e., the logarithm return rate of stock prices do not obey normal distribution. For instance, literature [6] and [7], by analysis measured data, illustrate that Brownian movement and market actually is distanced really far.
    然而大多研究者通过对股市的研究发现股票价格并不服从几何布朗运动,即对数收益率不服从正态分布,如文献[6][7]通过对实测数据的分析,说明布朗运动与市场实际相距甚远.
短句来源
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  brown运动
    Fractional Pricing of Stock Price Process Following Fractional Brownian Movement
    股票价格服从分式Brown运动的股票期权保险精算定价
短句来源
    This paper discusses the European option pricing under stock price process following fractional brownian movement.
    本文利用保险精算方法讨论了股票价格服从分式B row n运动的欧式期权定价问题.
短句来源
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  brownian movement
A study of the rotational Brownian movement of dipole molecules in solutions using infrared spectroscopy
      
At the immediate opening of the cut axon the cytoplasm was fragmented and dispersed and the vesicles in this region were in rapid Brownian movement.
      
Each point of the network is acted on by the elastic forces from neighbors, by the force of viscous resistances, proportional to the relative velocity of the point, and by the effective force of Brownian movement.
      
The final separation of the discourse on the meaning of Brownian movement and "active molecules" from any possible link with spontaneous generation also grew out of Huxley's strategy to defeat Bastian.
      
A generalization of thermodynamics of irreversible processes on the basis of theory of brownian movement
      
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The ultraparabolic equations may be met in the probability theory, the theory of boundary layer, the theory of Brownian movement etc. But there are few papers on quasilinear ultraparabolic equations. We studied the global solutions to a class of quasilinear ultraparabolic equations in [1]. In this paper, we discuss the initial- boundary value problem to the same class in two different tip domains respectively, and establish the existence and uniqueness of the generalized solutions in both domains. Through...

The ultraparabolic equations may be met in the probability theory, the theory of boundary layer, the theory of Brownian movement etc. But there are few papers on quasilinear ultraparabolic equations. We studied the global solutions to a class of quasilinear ultraparabolic equations in [1]. In this paper, we discuss the initial- boundary value problem to the same class in two different tip domains respectively, and establish the existence and uniqueness of the generalized solutions in both domains. Through these results, some properties of quasilinear ultraparabolic equa- tions may be shown even more clearly.

在概率论、附面层理论和布朗运动理论中都会遇到超抛物方程。关于拟线性超抛 物方程方面的工作目前还不多。我们曾在(1)中研究过一类拟线性超抛物方程的整 体解.本文继续就(1)中曾提到的两种条形域讨论了同一方程的初边值问题,并对 两种域都得到了广义解的存在性和唯一性.从本文可以更清楚地看到拟线性超抛物方 程的某些性质.

In this article, we investigate the memory effect of Brownian movement by using the projective operator method. We obtain the mean square value of displacement which involving the Non—Markov effect.

本文试图讨论布朗粒子运动的“记忆”效应,应用投影算子方法,在布朗运动随机动力学方程的基础上,引进函数H(t)。它描述了速度对位移的影响。在记忆函数K(t)适当假定后,我们得到含有非马尔可夫效应的位移方均值。它除了包含与t成正比的无记忆项外,将出现额外的项。这些项显示出记忆作用的结果。

In this paper,firstly,the conception of the CEV is introduced.Secondly,It is gained that is the formula of Asian Put Option pricing with Geometry Average and Transaction Costs under the CEV Process by studying the formula of Asian Put Option pricing with Geometry Average and Transaction Costs Under the geometry Brownian movement and the pricing formula is proved.Thirdly,its approximate solution is seeked by the binomial tree.At last,the validity and the practicability of the conclusion are validated.

首先介绍了波动率弹性为常数(简称CEV)的涵义;接着通过对服从几何布朗运动的有交易费用的亚式看跌期权定价模型的研究,推导出CEVP下有交易费用的亚式看跌期权定价公式,并证明了该公式的合理性;随后又运用了二叉树方法求出其几何平均的近似解;最后用实例验证了该结论的有效性和实用性.

 
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