查询词典 Black Scholes pricing model

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。

Using Basket warrants transaction data on TSEC from September 4, 1997 to June 25, 2001, the combination of five volatility models classical history volatility; Parkinson's(1980 high, low history volatility model; Garman and Klass's(1980) high, low, opening, closing history volatility model; Trippi's(1977) equal weights implied volatility model; Bollerslev's(1986)GARCH volatility model with two pricing models Black and Sholes's(1973 option pricing model, henceforth BS pricing model; Chen and Cheng's(2000) basket option pricing model, henceforth CC pricing model are discussed on valuation performance to obtain superior basket warrants pricing model.

本文利用1997年9月4日至2001年6月26日间在台湾证券交易所发行且已到期的组合型认购权证，使用五种波动性估计模型历史波动性模型、Parkinson(1980的最高、最低价历史波动性模型、Garman and Klass(1980)的最高、最低、开盘、收盘价历史波动性模型、Trippi(1977)的等加权平均隐含波动性模型、Bollerslev(1986)的GARCH波动性模型与Black and Sholes(1973)选择权评价模式、陈松男与郑翔尹(2000)的组合型认购权证评价模型(CC组合型认购权证评价模型)配对成十种评价模型，并比较其评价绩效，冀期能得到一较佳的组合型认购权证评价模型。

Using Basket warrants transaction data on TSEC from September 4, 1997 to June 25, 2001, the combination of four volatility models classical history volatility,Parkinson's(1980 high, low history volatility model,Garman and Klass's(1980) high, low, opening, closing history volatility model,Trippi's(1977) equal weights implied volatility model with two pricing models Black and Sholes's(1973 option pricing model, henceforth BS pricing model,Chen and Cheng's(2000) basket option pricing model, henceforth CC pricing model are discussed on valuation performance to obtain superior basket warrant pricing model.

摘要本文利用1997年9月4日至2001年6月26日间在台湾证券交易所发行且已到期的组合型认购权证，使用四种波动性估计模型历史波动性模型，Parkinson(1980的最高，最低价历史波动性模型，Garman and Klass(1980)的最高，最低，开盘，收盘价历史波动性模型，Trippi(1977)的等加权平均隐含波动性模型与Black and Sholes(1973)选择权评价模式，陈松男与郑翔尹(2000)的组合型权证评价模式配对成八种评价模式，并比较其评价绩效，冀期能得到一较佳的组合型认购权证评价模式。

For the security market with restricted borrowing and short sale unallowed, Options pricing formula are advanced, and the relation between them and Black-Scholes Options pricing formula is discussed. The essence of Black-Scholes Options pricing formula is set forth. To the security market with restricted borrowing and short sale unallowed, stock returns risk pricing formula is advanced and the demonstration analysis of China security market is provided. From the demonstration analysis, arbitrage exists in China security market, which can be applied to explain the riddle of a great deal of China bank money and hot money swarming into China security market.

本文在B-S期权定价的基础上，直接利用股票本身的参数推导出股票收益率风险的定价公式；对不允许融资和卖空的证券市场，给出了看涨期权和看跌期权的定价公式，并讨论了他们和相应B-S期权定价公式之间的关系；对B-S期权定价公式的本质做出了阐述；对不允许融资和卖空的证券市场，给出了股票收益率风险的定义；利用股票收益率风险的新定义，对中国证券市场进行实证分析，得出中国证券市场存在套利，解释了2006年和2007年中国大量银行资金和国外热钱流向中国股市之谜。

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别致的圆型彩罐为渐层色彩加以高级烫金字体，外盖打开後，另为一附有易拉环之密封盖，设计新奇，并具完全防潮功能，完美保存印度原产精选顶级红茶的最佳风味，(此包装可选择茶品有印度三大产区之大吉岭红茶，阿萨姆红茶，尼尔吉利红茶以及各式经典风味红茶，如格雷伯爵红茶，苹果风味红茶，芒果风味红茶，百香果风味红茶，凤梨风味红茶，薄荷风味红茶，草莓风味红茶，焦糖风味红茶，综合水果风味红茶，杏桃风味红茶及水蜜桃风味红茶等等)顶级优质印度红茶，可纯品或视喜好添加些许牛奶，糖或蜂蜜增添不同风味。

In chapter 2, the basic ideas of binomial pricing model are concerned, we discuss binomial pricing model of discrete up-and-out calls and show the formula, it extends binomial pricing model of European option. It is then followed by the discussion of the structure and thought of trinomial pricing model, the formula of barrier option is derived. At last, we provide mixed trinomial pricing model.

第二章，首先介绍了二项式定价模型的基本思想，推导出了障碍期权的二项式定价公式，此式推广了标准的二项式定价公式；其次，介绍了三项式定价模型的构造及基本思想，得出了障碍期权的三项式定价模型；最后，推广了三项式定价模型，提出了混合型三项式定价模型。

For reach the ideal price, auto enterprises need to use different methods of pricing---cost-oriented, demand-oriented,competition-oriented, and the integrated use of above all. Some stratges are also adviced. e.g: new products pricing stratge, cycle pricing stratge, discount pricing stratge, conbine pricing stratge, phycology pricing strage etc.

为了实现一定的定价目标，汽车企业需要灵活采用各种定价方法——成本导向法、需求导向法、竞争导向法以及几种方法的综合运用，并辅之以多种定价策略，例如新产品定价策略、生命周期定价策略、折扣定价策略、组合定价策略、心理定价策略等等。

Having reviewed both domestic and international dissertations about resource pricing theories, compared domestic with foreign practices, stepped on the base of domestic realities, the author of this dissertation analyzes the pricing system of mineral resources both from theories and from its practices:First, analyzed China's current governmental pricing system and its effect on the market, and found some regulation problems such as inadequation and excession. Second, compared different mineral resources pricing methods and its effects on the market, and suggested new mineral resources pricing system for China. Third, raised some suggestion on how to regulate and manage through government administration in this new pricing system.

论文中借鉴国内外成熟的资源定价理论，对比国外通行做法，立足于国内实际，从理论和实践两方面对矿产资源的定价体系进行研究：一是分析了现行中国矿产资源政府行政定价的制度及其对市场的影响，找到部分调控影响不到、不力或过度的问题；二是比较了国内外现行不同的矿产资源定价体系及其对市场的影响，提出了适应我国经济社会发展的新矿产资源定价体系；三是科学地提出了我国在应对未来资源提价过程中如何合理发挥政府调控手段的建议。

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。

In the current study in China through the property services industry pricing model research and analysis, these two find the current property services pricing of existing problems and shortcomings, that China\'s property services pricing requirements, the property services industry focus on Hotelling Model of a practical method of analysis, in reference to the Hotelling model based on the combination of game theory and the theory of economics and characteristics of China\'s property services can be established as far as the property owners of both enterprises and service needs as much as possible To meet the price model, on the basis of our property services business of the new pricing model.

在研究中通过对现行中国物业服务行业的定价模式的研究分析，找到目前这两种物业服务定价方式存在的问题和缺陷，得出对于中国物业服务定价的要求，重点对物业服务行业对霍特林模型研究方法的实用性进行了分析，从而在参考霍特林模型的基础上，结合博弈论和经济学的相关理论以及中国物业服务特点建立能够尽量让物业服务企业和业主双方需求尽可能达到满足时的价格模型，在此基础上探讨我国物业服务企业定价的新模式。

Finally it offers the analysis of the fault-tolerance system as well as its test verification.

这样，运行于空间环境中的系统的设计目标就是在保证系统实时性

However, it is still difficult to find out the real reason of the increase of the keratinized gingiva during the orthodontic extrusion whether it is due to the proliferation of the gingival tissue or to its elastic nature, that is because the proliferation of the fibroblasts as well as the connective tissue changes in volume and the intra-fibers spaces were all immeasurable in most of the studies.

然而，仍然难以找到真正的原因增加的角化牙龈在正畸挤压它是否是由于扩散的牙龈组织或其弹性性质，这是因为增殖的成纤维细胞以及作为结缔组织的变化量和内部纤维空格都是不可估量的，大多数的研究。