Black Scholes pricing model
- Black Scholes pricing model的基本解释
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[财]布莱克
- 更多网络例句与Black Scholes pricing model相关的网络例句 [注:此内容来源于网络,仅供参考]
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In Black-Scholes pricing model, there was five variables impact the option price that we take to be the input variable in artificial neural network, both Back-Propagation Network and Radial Basis Function Network are used. Base on the difference analysis, we find out another variable that can improve learning efficiency and affectivity.
为避免差异,以Black-Scholes模式中,五项影响权证价格之因子为输入变数,分别以倒传递网路与半径式函数网路建立模式,並藉差异分析找出可改善学习绩效之变数。
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Based on modern option pricing theories,Black-Scholes and Merton option pricing model are used to study the pricing of the structured products,and its design,characteristics and risk are studied respectively.Based on Black-Scholes and Merton option pricing models,I also use the checking method to estimate the parameters of the model following real prices data,And calculate the theoretical price.Then,I compare the real and theoretical prices of the two pricing models.The results show that the effects of the Merton option pricing model are superior to the Black-Scholes option pricing model.Moreover,It shows that Hong Kong stock prices are also affected by the instant messages,and the jump phenomenon may exist in Hong Kong stock market.
本文以香港衍生品市场上三种主要结构性产品结构性票据、牛熊证和衍生权证为例,探讨了结构性产品的设计、特点、风险和定价,以现代期权定价理论为基础,以B-S和Merton两种期权定价为基础,根据市场价格经过校验得出模型隐含的参数,编程计算出两种定价模型下的理论价格,并将其实际价格和理论价格进行了比较,结果显示:Merton定价模型的效果要优于Black-scholes定价模型,说明香港市场的股票价格也可能受即时信息的影响,存在跳跃现象。
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The theatrical foundation of this paper is option pricing model. This paper focuses on the Black-Scholes model, details the basic postulation, principle and pricing formula. And it is pointed out that the postulation that volatility is constant can't reflect the varying market volatility. Violation of this postulation will lead to biased pricing results.
期权定价模型是本文分析的理论基础,文中以Black-Scholes模型为主,分析了期权定价模型的基本假设、原理与定价公式,指出波动率为常数的假设不能反映市场波动率的变化状况,对该假设的违背将使定价结果产生偏差,因此,波动率在期权定价中有重要的作用。
- 更多网络解释与Black Scholes pricing model相关的网络解释 [注:此内容来源于网络,仅供参考]
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Exotic Options:奇异期权
除了以斯克尔斯期权定价模型(Black Scholes Option Pricing Model,以下简称BS)推算外,蒙地卡罗模拟法也是推论期权价的有效工具,特别是涉及极复习数学模型的运算和奇异期权(Exotic Options)定价.