简介：一个有效选择定价方法被毒牙和Oosterlee在2008为欧洲选择基于Fourier余弦扩大介绍，并且以后，这个方法被他们也使用分别地定价早锻练的选择和障碍选择，在2009。在这份报纸，这个方法被使用分离地多于锻练日期多次定价监视日期是的美国障碍在选择。相应算法被介绍给实际选择定价。数字实验证明这个算法为不同指数的L工作很好并且高效地

简介：

简介：这篇论文在波动的环境下面探讨定价和库存补充策略的同时的决心。明确地，我们分析单个条款，周期的评论模型。需求由二部分组成：确定的部件，被价格影响，和随机的部件(不安)。随机的部件的分发由外长的Markov链的当前的国家被决定。在任何给定的时期被控告的价格能动态地被指定。一份补充订单可以被放在一些时期或所有的开始，并且无存货是充分backlogged。订是更低的semicontinuous，并且库存/积压事物的费用或剩余)与多项式生长是连续的费用。有限地平线、无限地平线的问题被处理。最佳的政策的存在被建立。而且，optimality(s，S，p)当订的费用由组成时，类型政策被证明修理，比例的费用部件和剩余花费了(这些费用都是州依赖者的)是凸的。关键词随机的库存管理-Markov链-定价-有限地平线-无限的地平线2000苏布杰克特先生分类90B05-90B06由国家天赋支持了中国的科学基础(号码70621061，号码70890082，号码70671100)并且北京交通的科学基础大学(2007RC014)。

简介：Anewpartialpricingcolumnruleisproposedtothebasis-deficiency-allowingsimplexmethoddevelopedbyPan.ComputationalresultsobtainedwithasetofsmallproblemsandasetofstandardNETLIBproblemsshowitspromiseofsuccess.

简介：这份报纸的主要目标是与用模糊集合理论跟随跳散开的内在的财产在Mertons框架定价欧洲选择。由于真实金融市场的含糊的变化，一般水准跳评价并且跳尺寸不能精确地被记录或收集。这份报纸的主要想法因此是作为一个三角形的模糊数字为率建模并且跳作为模糊随机的变量和使用缩放模糊集合的性质推出位于合理期望平衡价格的原则下面的二个不同跳散开模型。不同于许多传统的模型，欧洲选择价格现在将变成一个模糊数字。这个模型的主要优点之一是它允许投资者在可接受的信仰度下面选择合理欧洲选择价格。实验结果将在建议模型上为改进提供同样有用的反馈信息。

简介：Thepurposeofthispaperistodiscusshowthevalueofhigh-techfirmcanberationallyvaluedbytakingintoaccountmanagerialflexibilitywhenitsfuturerevenueisuncertain,therebythefirm'smanagercanmakerationalinvestmentdecisionS.Usingstochasticcontroltheory,thepaperwillpresentthatthefirm'svaluesatisfiesapartiallydifferentiateequation,andanalyzethemanagerialflexibilityvaluewithinaframeworkofreal-optionanalytictheorey.Finally,thecomparativestaticanalysisandthemodel'ssimpleapplicationaregiven.

简介：Acompoundoptionissimplyanoptiononanoption.Inthisshortpaper,byusingamartingaletechnique,weobtainananalyticalformulaforpricingcompoundEuropeancalloptions.Numericalresultsaregiventoexplainsomeeconomicphenomenon.

简介：0.IntroductionandSummaryThecelebratedpapersof[2]and[3],pavedthewayforpricingoptionsonstocks,onthebasisofthefollowingprinciple:inacompletemarket(suchastheoneinSection1.5),everycontingentclaimcanbeattainedexactlybyinvestinginthemarketandstartingwithala...

简介：Abstract.WeobtainaBlack-Scholesformulaforthearbitrage-freepricingofEu-ropeanCalloptionswithconstantcoefficientswhentheunderlylngstockgeneratesdividends.TohedgetheCalloption,wewillalwaysborrowmoneyfrombank.WeseetheinfluenceofthedividendtermontheoptionpricingviathecomparisontheoremofBSDE(backwardstochasticdi~erentialequation[5],[7]).WealsoconsidertheoptionpricingproblemintermsoftheborrowingrateRwhichisnotequaltotheinterestrater.ThecorrespondingBlack-Sdxolesformulaisgiven.Wenoticethatitisinfacttheborrowingratethatplaystheroleinthepricingformula.

简介：Binomialno-arbitragepricehaveamethodisthetraditionalapproachforderivativepricing,whichis,thecompletemodel,whichmakespossibletheperfectreplicationinthemarket.Riskneutralpricingisanappropriatemethodofassetpricinginacompletemarket.Wehavediscussedanincompletemarket,anon-transactionassetthatproducesincompletenessofthemarket.Aneffectivemethodofassetpricinginincompletemarketsistheundifferentiatedpricingmethod.ThistechniquewasfirstlyintroducedbyBernoulliin(1738)thesenseofgambling,lotteryandtheirexpectedreturn.Itisusedtocommandinvestors'preferencesandbetterreturnstheresultstheyexpect.Inaddition,wealsodiscusstheutilityfunction,whichisthecoreelementoftheundifferentiatedpricing.Wealsostudiedsomeimportantbehaviorpreferencesofagents,andinjectedexponentialeffectofriskaversioninthemodel,sothatthemodelwasnonlinearintheprocessofclaimsettlement.

简介：Thispaperproposesandmakesastudyofanewmodel(calledthe3/2plusjumpsmodel)forVIXoptionpricing.Themodelallowsthemean-reversionspeedandvolatilityofvolatilitytobehighlysensitivetotheactuallevelofVIX.Inparticular,thepositivevolatilityskewisaddressedbythe3/2plusjumpsmodel.Dailycalibrationisusedtoprovethattheproposedmodelpreservesitsvalidityandreliabilityforbothin-sampleandout-of-sampletests.Theresultsshowthatthemodelsarecapableoffittingthemarketpricewhilegeneratingpositivevolatilityskew.

简介：ThepapermodelsthearrivalofheterogeneousinformationduringR&DstagesasadoublystochasticPoissonprocess(DSPP).Thenewproductmarketintroductionisthoughtofasoptiononanoption(acompoundoption).ThispaperderivesananalyticapproximationvaluationformulafortheR&Doption,anddemonstratesthattheaccountsforheterogeneousinformationarrivalmayreducethepricingbiases.Thisway,thegapbetweenrealoptiontheoryandthepracticeofdecisionmakingwithrespecttoinvestmentinR&Disdiminished.

简介：在这份报纸，我们在一个减少的形式模型与counterparty信用风险学习大祸选择的价格。我们假设损失过程被一个二倍地随机的泊松过程产生，股票价格过程通过被相关到损失过程，利率过程和缺省的一个跳散开过程被建模紧张过程通过Vasicek模型被建模。我们在一个减少的形式模型为定价大祸选择导出关上的形式公式。而且，我们在明确的公式上使一些成为数字分析。

简介：UndertheassumptionoftheunderlyingassetisdrivenbythemixedfractionalBrownianmotion,weobtainthemixedfractionalBlack-ScholespartialdifferentialequationbyfractionalItoformula,andthepricingformulaofperpetualAmericanputoptionbythispartialdifferentialequationtheory.

简介：

简介：Inthispaper,weestablishedaCapitalAssetPricingModel(CAPM)subjecttotheassumptionthattheassetreturnratesobeysymmetricstableParetiandistributions.Thisassumptionseemstobeclosertorealitythanthestandardonessuchasnormalityorfinitevariance.ConclusionsimilartotheoriginalCAPMformulaisdrawninthispaper.

简介：Inthispaper,wederivetwogeneralparameterizedboundariesoffinitedifferenceschemeforVee’sPDEwhichisusedtopricebothfixedandfloatingstrikeAsianoptions.Usingthesetwoboundaries,wecandealwithallkindsofsituations,especially,someextremecases,likeoverhighvolatility,verysmallvolatility,etc,underwhichtheAsianoptionisusuallymispricedinmanyexistingnumericalmethods.Numericalresultsshowthatourboundariesareprettyefficient.