利率期权

本文界定了高速公路投融资的概念，提出利用社会保障资金、银行贷款招投标、利率期权贷款、发行高速公路彩票等融资新机制。

This paper defined the concept of investing and financing highways , and issued a new highway financing mechanisms to make use of social security funds , bank loans by bidding , loan interest rate options , and the lottery .

基于BGM模型的具有可变执行利率的利率期权定价

Study of pricing interest rate options with changeable exercise interest rates based on BGM model

评价利率期权的远期与即期模型的比较分析

Compare analysis of forward and spot models for valuing interest - rate options

本论文主要研究随机利率下期权定价问题。

This dissertation contributes to option pricing problem under stochastic interest rates .

第二，利率在期权定价中也起很重要的作用，利率的变化直接会影响到期权的定价。

When interest changes , the option pricing will be affected directly .

本文最后以黄金衍生品为例编程求解，分析了期权价值的性质，并探讨了波动率以及无风险利率对期权价值的影响。

This paper prices gold derivatives as a example and discuss how volatility and risk-free rate of interest influence on the price of the option .

跳跃&扩散模型下随机利率的期权定价一直是一个难点，这方面的研究较少，而且研究的方法基本上是倒向随机微分方程法。

Pricing options with stochastic interest rate under jump-diffusion models is always a difficulty in option pricing research . There are little research about this , mostly using backward stochastic differential equation .

进而本文分别考虑当标的资产价值、无风险利率、期权执行价格不确定时，单个实物期权定价模型的推导。

So the main body of the paper discusses the methods and models of signal real option pricing under the condition of uncertain parameters : the value of underlining assets , non-risk interest rate , expenditure of execute .

在该测度基础上，构造鞅过程可以对一些固定收益衍生品定价，进一步给出零息债券的欧式期权、利率上限期权的定价公式。

Can used to construct the martingale process to valuate the fixed - income derivatives . It also helps to mark out the pricing formulas of call option in terms of zero - coupon bond and interest - rate caps .

摩根大通（jpmorgan）拿着美联储（fed）担保的贷款收购了贝尔斯登，而这其中几乎无疑隐藏了价值巨额的利率和信贷期权。

Hidden in the federal reserve-collateralised loans to JPMorgan that enabled it to take over Bear Stearns were almost surely interest rate and credit options worth billions of dollars .

这是因为，liffe的欧洲同业拆借利率期货和期权、或是芝加哥商品交易所（chicagomercantileexchange）的欧洲美元期货等金融产品，是利润的来源。

This is because financial products such as Euribor futures and options on LIFFE or Eurodollar Futures at the Chicago Mercantile Exchange are where the money is .

市场利率波动对期权价值的影响

The effect of fluctuation of market interest rate on option price

第二部分包括第二章到第四章，是对住房抵押贷款隐含期权的定价，其主要特点是在浮动利率及美式期权条件下进行探讨的，得出了隐含期权的表达式。

The second part including Chapter ⅱ to Chapter IV is the pricing of implied option to mortgage ; Its main feature is base on the floating rate and American options to explore .

随机利率下汇率联动期权的多维Black-Scholes模型

Multi-dimensional Black-Scholes Model on Foreign Index Contingent Under Random Rate

不同借贷利率下欧式双向期权的定价

Pricing of Bi-direction European Option under Different Borrowing-lending Interest Rates

在随机利率条件下欧式期权、美式期权的定价及其期权定价理论的应用

European Option and American Option Pricing with Stochastic Interest Rate and Their Applications

随机利率下含退保期权的投资连接寿险模型

A unit-linked life insurance model for embedding a surrender option under stochastic interest rate

固定利率和提前还款期权相结合有助于保护借款人免于利率风险。

The combination of fixed interest rates and an option to prepay helps to shield borrowers from interest-rate risks .

我们考虑了更实际的条件，即在随机利率下亚式期权的定价。

We are interested in the more realistic condition , which is the pricing formula for Geometric Asian Options under stochastic interest rates .

本文旨在研究随机利率下的实物期权，分析利率不确定性对投资决策的影响。

In this paper , our purpose is to study the real options under stochastic interest rate and analyse the effect of interest rate uncertainty on investment decisions .

自从关于债券和其它利率基础资产的期权交易产生以来，研究和模拟利率及其衍生证券的定价成为金融研究中最具有挑战性的课题之一。

Studying and modeling the dynamic of interest rate and interest rate derivatives represents one of the most challenging topics of finance research since the introduction of option trading on bonds and other interest rate dependent assets .

本文共分六章，分别讨论了基于投资理论的保险定价问题、保险基金的最优投资问题、破产概率问题及随机利率下含退保期权的投资连结保险问题，从而实现了上述研究目标。

This paper include six chapters . In order to achieve above goals , we study premium pricing problem based on investment theory , the optimal investment of insurance funds , ruin probability and a unit-linked life insurance model for embedding a surrender option under stochastic interest rate respectively .

对支持利率风险管理的利率期权评价模型进行比较分析。

The object of this article is to investigate the question of which interest rate options valuation models are better suited to support the management of interest rate risk .

这篇论文对远期利率协议、利率互换、利率期货、利率期权等金融衍生工具在利率风险控制中的运用做了初步的探讨。

The other is that , to control interest rate risks , the essay details the use of financial derivatives , such as FRA , interest swaps , interest future and interest options .

在资产负债表外管理方面主要是使用金融衍生工具，运用的表外工具主要包括远期利率协议、利率期货、利率互换、利率期权等。

Manages the aspect outside the property debt table mainly is uses the financial derivation tool , outside the utilization table the tool mainly includes the forward interest rate agreement , the interest rate stock , the interest rate exchange , the interest rate option and so on .

金融衍生品与利率风险管理是本文的核心内容，金融期货、利率期权、利率互换都是利率风险管理的重要工具。

Financial derivatives and interest rate risk management is the core content .

并针对汇率风险和利率风险比较分析了几种风险管理的方法，如货币互换、利率互换、外汇期权等。

The paper compares and analyses several kinds of risk management methods , such as monetary swap , interest swap , foreign exchange options etc.

用于管理利率风险的金融衍生工具主要有：远期利率协议、利率期货、利率互换与利率期权。

These financial derivatives are : Forward Rate Agreements , Interest Rate Futures , Interest Rate Swaps , and Interest Rate Options .

假设借贷利率不相同，在考虑股票和债券价格行为特征的基础上，利用鞅方法推导了不同借贷利率下欧式双向期权的定价公式。

The pricing formula of Bi-direction European option under different borrowing-lending interest rates is derived by applying the martingale method , considering comprehensively the interest rates and the models of stock price .