O—U过程,O—U process英语短句,例句大全

O—U过程,O—U process
1)O—U processO—U过程
1.The first model is a simple one-factor model in which the logarithm of the spot price of the commodity is assumed to follow O—U process which has a mean reverting character.第二个模型称为双因子模型,它是在单因子模型的基础上加入了新的因子变量—便利收益率,并且假定便利收益率服从带有均值反转特性的O—U过程。
2)O-U processO-U过程
1.Through analysis and comparison,it has been found that both of the models can meet the same stochastic differential equations and the option is of the same price under the model,with Black-Scholes option pricing model given first,and then its pricing formula deduced by martingale approach,and finally option pricing model of O-U process introduced.我们首先给出Black-Scholes期权定价模型,并用鞅方法导出其定价公式,然后引入O-U过程期权定价模型,通过分析比较发现这两个模型都满足相同的随机微分方程,并且在此两模型下期权具有相同的价格。
2.They are governed by the following stochastic differential equations:where O_t is an m-dimensional O-U process governed by the following SDE:H,b_1,b_0,C are m×d, d×d, d×1, d×d matrices, (B_t, W_t) is a (d+m) dimensional Brownian motion.在§l中介绍了以O-U过程为噪音的两类可解线性滤波模型。

英文短句/例句

1.Some Exotic Reset Options Pricing in Ornstein-Uhlenback Process Models;O-U过程模型下一些新型重置期权的定价
2.Pricing a Kind of Looking Back-reset Call Option with Ornstein-Uhlenback Process;一种回望重置看跌期权在O-U过程下的定价
3.Pricing mortgage insurance with house price driven by O-U process;房价服从指数O-U过程保证险的鞅定价
4.Pricing a Kind of Looking Back-Reset Option with Ornstein-Uhlenback Process;O-U过程模型下一种回望型重置期权的定价
5.Pricing Reload Options with Stochastic Interest Rate under Ornstein-Uhlenback Processes;利率和股票价格遵循O-U过程的再装期权定价
6.Option Pricing Based on the O-U Process with Trend and Constant;基于带常数项与趋势项的O-U过程的权证定价
7.RELOAD STOCK OPTIONS PRICING WITH UNDERLYING STOCK ASSET OBEYING ORNSTEIN-UHLENBECK PROCESS;股票价格服从指数O-U过程的再装期权定价
8.Pricing Options on the Maximum of Stocks Driven by Ornsten-Uhlenback Process;股票价格遵循指数O-U过程的最大值期权定价
9.Pricing European Options in Ornstein-Uhlehbeck Model with Jump Risks具有跳风险O-U过程模型的欧式期权定价
10.Pricing Mortgage Insurance under O-U Process指数O-U过程下保证险的保险精算定价
11.The unique equivalent martingale measure of this model is found by using the Girsanov theorem.利用Girsanov定理获得了指数O-U过程模型的唯一等价鞅测度。
12.The Pricing of Reset Options Driven by Exponential Ornstein-Uhlenback Process;股票价格遵循指数O-U过程的重设型期权的定价
13.Maximun of brownian motion and barrier option;股票价格遵循指数O-U过程的变界障碍期权定价
14.Exponential Ornstein-uhlenbeck Process and Its Application in Value of Investment Project;指数O-U过程及其在投资项目价值研究中的应用
15.Actuarial pricing approach to Europe option and exchange option under stochastic interest rates and O-U process欧式期权和交换期权在随机利率及O-U过程下的精算定价方法
16.Option pricing with the underlying stock price driven by Ornstein-Uhlenbeck process under stochastic interest rates随机利率下股票价格服从指数O-U过程的期权定价
17.PRCING OF EURPEAN POWER OPTIONS UNDER FRACTIONAL O-U PROCESS AND STOCHASTIC RATE随机利率下服从分数O-U过程的欧式幂期权定价
18.Pricing Continues Square Double Barriers Option with Underlying Assets Driven by Exponential Ornstein-Uhlenback Process资产价格服从指数O-U过程的连续平方双重障碍期权的定价公式

相关短句/例句

O-U processO-U过程
1.Through analysis and comparison,it has been found that both of the models can meet the same stochastic differential equations and the option is of the same price under the model,with Black-Scholes option pricing model given first,and then its pricing formula deduced by martingale approach,and finally option pricing model of O-U process introduced.我们首先给出Black-Scholes期权定价模型,并用鞅方法导出其定价公式,然后引入O-U过程期权定价模型,通过分析比较发现这两个模型都满足相同的随机微分方程,并且在此两模型下期权具有相同的价格。
2.They are governed by the following stochastic differential equations:where O_t is an m-dimensional O-U process governed by the following SDE:H,b_1,b_0,C are m×d, d×d, d×1, d×d matrices, (B_t, W_t) is a (d+m) dimensional Brownian motion.在§l中介绍了以O-U过程为噪音的两类可解线性滤波模型。
3)exponential Ornstein-Uhlenback process指数O-U过程
1.Pricing lookback options on the stocks driven by exponential Ornstein-Uhlenback process;股价为指数O-U过程的回顾型期权的定价
4)exponential Ornstein-Uhlenbeck process指数O-U过程
1.Under the hypothesis of stock price submitting to exponential Ornstein-Uhlenbeck process and considering the relation ship between the fluctuation of interest rate and the fluctuation of stock price, this paper focuses on analyzing the effect of the fluctuation of market interest rate on European option price, and then compares the obtained formula with Black-Scholes pricing formula by sample.本文在股价服从指数O-U过程模型假设下,在考虑到市场利率波动与股价波动的相关性基础上,重点分析了市场利率的波动对欧式期权价值的影响,并通过实例将所得期权定价公式与著名的 Black-Scholes定价公式进行了比较。
5)O-U type Markov processO-U型马氏过程
6)fractional O-U process分数O-U过程
1.This dissertation studies the power options and reset option, and obtains the following results:①Pricing of Eurpean power options under fractional Ornstein-Uhlenback(O-U)process and stochastic rateConsidering the randomness and mean-reversion of interest rate and underlying asset, we incorporate an expanding Vasick model and fractional O-U process to study the pricing of European power options.在本学位论文中,我们对幂期权和重置期权进行了研究,得到如下结果:①随机利率下服从分数Ornstein-Uhlenback(O-U)过程的欧式幂期权定价考虑了利率和标的资产价格的随机性和均值回复行为,把扩展的Vasick模型和分数O-U过程进行组合,在随机利率环境下,研究了标的资产价格服从分数O-U过程的两类欧式幂期权定价问题,得到相应的定价公式,并给出了欧式幂期权的看涨-看跌平价关系。