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云南财经大学金融学院金融工程课件第5章 期权定价的Black-Scholes-Merton模型
云南财经大学金融学院 金融工程 课件 第5章 期权定价的Black-Scholes-Merton模型
2016/1/11
云南财经大学金融学院金融工程课件第5章 期权定价的Black-Scholes-Merton模型。
The first years of the 21st century have already witnessed two "once in a generation" financial declines?black swans" are alive and well. ?Black swans refer to the impossible or highly unlikely actual...
On the fractional Black-Scholes market with transaction costs
fractional Brownian motion proportional transaction costs
2010/10/20
We consider fractional Black-Scholes market with proportional transaction costs. When transaction costs are present, one trades periodically i.e. we have the discrete trading with equidistance $n^{-1}...
Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
Volatility smile Black-Sholes model no-arbitrage conditions
2010/10/19
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the stri...
Path integral approach to Asian options in the Black-Scholes model
Path integral Asian options Black-Scholes model
2010/11/1
We derive a closed-form solution for the price of an average price as well as an average strike
geometric Asian option, by making use of the path integral formulation. Our results are compared to a n...