查询词典 Black Scholes option pricing model

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。

Under the hypothesis of stock price submitting to exponential Ornstein-Uhlenbeck process ,we solve the formula of pricing of stock and analyse the kind of the option formula, and then aiming at the blemish to suppose to interest rate before and considering the relation of the fluctuation of interest rate and the fluctuation of stock price , we bring up the model of the market interest rate and focus on analyzing the effect of the fluctuation of market interest rate on the option price based on the model.

本文首先在股票价格服从指数Ornstein-Uhlenbeck过程模型假设下，求解了股票的定价公式，分析了期权公式的性质，然后针对以往对利率假定的缺陷，考虑到市场利率波动与股价波动的相关性，提出了市场利率模型，并在此基础上，着重分析了市场利率的波动对期权价值的影响，求得了适合于期权有效期较长情形下的期权定价公式，并将该公式通过实例与著名的Black-Scholes期权定价公式进行了深入比较。

The Black-Scholes options pricing model is one of the most famous equations in finance and offers a useful first approximation for prices for option contracts.

的Black - Scholes期权定价模型是在金融业中最有名的方程，并提供一个有用的为期权合约价格首次逼近。

Specially, we primary deals with the option pricing of Black-Scholes model with continuous dividend payments then get the call option and put option formulas: And the model of geometric average Asian options with fixed strike price then we get the call option formula: The relevant formulas about call option and put option,which are all identical with the classical ones.

其中，特别是对连续支付红利的欧式Black-Scholes期权定价模型求得其买权和卖权的定价公式分别为：此外，还对具有固定敲定价格的几何平均亚式期权的模型给出买权的定价公式：所得结果与用经典解法求得的定价公式完全一致。

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。

This study deals with the prices of American option on dividend-paying. Because American call option can early exercise, in my master thesis, with Black-Scholes Option Pricing Model, I design integral representation to obtain the optimum early exercise boundary, this can evaluate the price of American call option on dividend-paying assets and compare with Europe call option.

中文摘要本研究报告主要在探讨发放股利之美式买权定价之问题，由於美式买权可以提前履约，本文以Black-Scholes Option Pricing Model为其数学模型，再设计一积分表现式，用叠代法来求得最佳履约价格，进而求得标的资产发放股利之美式买权价格，其结果再与欧式买权价格比较。

Such as Markowitz"s modern assets portfolio theory, Sharp, Minter and Mossin"s Capital Assets Price Model; Ross"s Arbitrage Pricing Theory; Black-Scholes"s the option of fixes the price classical capital market theories. They are all based on EMH.

例如马克维兹现代资产组合理论，Sharp、Minter、Mossin的资本资产定价模型，罗斯的套利定价理论，Black-Scholes的期权定价公式等经典资本市场理论，都是以有效市场假设为前提的或者与之有密切的联系。

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。

So the stock price can be calculated by using Black-Scholes model and European call option binominal tree pricing model,the price of which depends on the price and maturity period of the corporation s bonds.

指出公司股票是基于公司价值的看涨期权，因此可用Black-Scholes模型和欧式看涨期权二叉树定价公式对公司股价进行计算，其结果取决于公司债券到期时还本付息的金额以及债券的存续时间。

Black-Scholes averred an option pricing model, which became the base of derivatives pricing.

Black-Scholes（1973）年提出选择权的评价模型，即奠定衍生性金融商品订价基础。

I am accused of being overreligious," she said in her quiet, frank manner,"but that does not prevent me thinking the children very cruel who obstinately commit such suicide.""

客人们在卡罗利娜·埃凯家里，举止就文雅一些，因为卡罗利娜的母亲治家很严厉。

Designed by French fashion house Herm è s, this elegant uniform was manufactured in our home, Hong Kong, and was the first without a hat.

由著名品牌 Herm è s 设计，这件高贵的制服是香港本土制造，是我们第一套不配帽子的制服。