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jump diffusion model
相关语句
  跳跃扩散模型
     Using McMC method to estimate double exponential jump diffusion model
     双指数跳跃扩散模型的McMC估计
短句来源
     In this paper we propose a Bayesian method to estimate the double exponential jump diffusion model(DEJD). The approach is based on the Markov chain Monte Carlo(McMC) method with the likelihood of the discredited process as the approximate posterior likelihood.
     使用贝叶斯方法估计了双指数跳跃扩散模型,该方法是使用Euler方法对连续过程进行离散化,用离散过程的似然函数做为模型参数的近似后验似然函数.
短句来源
  跳扩散模型
     Double Exponential Jump Diffusion Model for Pricing Convertible Bonds
     基于双指数跳扩散模型的可转换债券定价(英文)
短句来源
     The Research of the Short Term Price of a Credit Default Swap in a Jump Diffusion Model with Two-sided Exponentially Distributed Jump
     双指数跳扩散模型信用违约互换短期价格研究
短句来源
     In 1976, Merton established firstly a jump diffusion model where the jump risks are unsystematic and the jump magnitude of the log of the asset price is assumed to be a normal distribution, and consider option pricing of European option.
     1976年,Merton首次建立了标的资产价格的跳扩散模型,且在非系统跳风险、跳跃大小分布为正态的假设条件下研究了期权定价问题。
短句来源
     In 2002, Kou proposed double exponential jump diffusion model, the most important is that double exponential jump diffusion model can generates a highly skewed and leptokurtic distribution, in addition, DEJD leads to tractable analysis pricing formulas for European and path-dependent options.
     在2002年,Kou提出了双指数跳扩散模型,该模型最主要的特点就是能产生一个尖峰厚尾分布,更重要的是在双指数跳扩散模型下能给出易处理的欧式期权和奇异期权的解析定价公式。
短句来源
     In this paper we propose a Bayesian method to estimate the double exponential jump diffusion model. The approach is based on the Markov chain Monte Carlo(MCMC) methods with the likelihood of the discredited process as the approximate posterior likelihood.
     本文使用贝叶斯方法估计了双指数跳扩散模型,该方法是利用Euler方法对连续过程进行离散化,用离散过程的似然函数作为模型参数的近似后验似然函数,证明了MCMC方法是分析双指数跳扩散模型的有效工具,由MCMC方法抽样所得的后验分布可以用来进行统计推断。
短句来源
  “jump diffusion model”译为未确定词的双语例句
     An approximation of CB call under double exponential jump diffusion model is given.
     最后我们给出了在标的服从双指数跳扩散过程时隐含call的价值近似表达.
短句来源
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  jump diffusion model
In addition, a comparison of the pure diffusion and jump diffusion models indicates that the jump diffusion model is statistically superior to the traditional event study methodology (pure diffusion model).
      
The jump diffusion model is employed to study the effects of the M>amp;amp;A announcements on stock prices.
      
International mergers and acquisitions: A jump diffusion model application
      
A jump diffusion model coupled with a local volatility function has been suggested by Andersen and Andreasen (2000).
      
The diffusive motion of the adsorbed H2could be described by a liquid like jump diffusion model above 35 K.
      
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This paper studies the relation between changes of probability measure and option pricing in a jump-diffusion model. By choosing different numeraire and corresponding probability measure, we give the formula of European options in a stochastic interest rate framework and get some results about exchange options and Asian options in jump-diffusion models.

本文研究在跳扩散模型中概率测度的变换对于期权定价的影响.通过选取不同的记价单位以及相应的概率测度,简化了期权定价中一些复杂的理论,得到了在具有随机利率的跳扩散模型中欧式期权的定价公式以及关于跳扩散模型中交换期权、亚式期权等新型期权的定性、定解性质.

The problem of pricing exchange options in a jump-diffusion model is considered. The market is composed of a riskless bond and two risky assets, and the prices of a risky assets are controlled by Brownian motion and Poisson process. Using the theory of Martingale, the integro-differential equation of option pricing is derived. The exact formula for pricing exchange options is obtained.

考虑跳扩散模型中交换期权的定价问题.在一个由无风险债券以及2项风险资产构成的金融市场中,风险资产的价格由布朗运动和泊松过程控制.利用鞅测度理论求出交换期权满足的积分微分方程,并得到期权定价的显式公式.

In the continuous time finance model the stock price volatility is deemed the Brownian motion. However in the real world as the significant information occurs, a discontinuous jump will occur in the stock price. This paper extends the classical stochastic LQ control to the jump-diffusion model. With the jump-diffusion stochastic Riccati equaiton introduced, the optimal feedback control can be obtained. With its application in hedging strategy and the Mean-Variance model,...

In the continuous time finance model the stock price volatility is deemed the Brownian motion. However in the real world as the significant information occurs, a discontinuous jump will occur in the stock price. This paper extends the classical stochastic LQ control to the jump-diffusion model. With the jump-diffusion stochastic Riccati equaiton introduced, the optimal feedback control can be obtained. With its application in hedging strategy and the Mean-Variance model, we obtain the optimal hedging strategy and the optimal portfolio strategy.

将随机LQ控制模型推广到系统状态为跳跃 扩散过程的随机LQ控制,通过引入跳跃 扩散的Riccati方程而得到最优的反馈控制,然后运用该框架去处理金融中未定权益的套期保值问题,与均值 方差分析模型,得到了精确的最优套期保值策略与最优的投资组合策略.

 
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