欧式期权

BlackScholes模型成功解决了有效证券市场下的欧式期权定价问题。

Black Scholes model has solved European option pricing in efficient market successfully .

Levy过程驱动下的欧式期权定价和套期保值

European Option Pricing and Hedging Driven by the Levy Process

欧式期权的Black-Scholes定价公式的Fourier推导

The Fourier Deduction of Black-Scholes Pricing Formula of European Options

股价服从指数广义双曲levy过程下的欧式期权定价理论与实证研究

Pricing Theory and Empirical Study about European Option When Stock Prices Obey Exponential Generalized Hyperbolic-levy Process

经典Black-Scholes公式已经给出标准欧式期权的解析公式。

Black-Scholes equation has given the analytical formula of standard European options .

最后推导出了基于CPI指数的欧式期权价格的解析解。

Finally , the analytic solutions of European option can be deduced on the CPI .

欧式期权的Black-Scholes模型的修正

Amendment of European Black-Scholes Options Pricing Model

对欧式期权定价的B-S模型进行了推广。

The European B-S model of option pricing is extended .

对欧式期权B-S模型的推广

The Extension of Black-Scholes Model of European Option Pricing

讨论了股票价格过程遵循指数OU（ornstein＿uhlenback）过程的欧式期权定价问题。

The pricing European option on a stock whose price process is driven by exponential Ornstein_Uhlenback process is considered .

本文研究股价服从指数广义双曲levy过程下的欧式期权定价理论，并以宝钢欧式看涨期权为例，通过技术方法实现定价。

This paper deals with pricing theory and empirical study about European option pricing when stock prices obey exponential Generalized hyperbolic levy process .

公式，给出了期权价格满足的BlackScholes方程，通过求解BlackScholes方程的终值问题，给出了一个独立于每个投资人风险偏好的欧式期权的公平价格BlackScholes公式。

By computing its terminal value , the model gives a fair price of European option - Black-Scholes formula independent on every investor ' risk aversion .

多因素CIR市场结构风险的双指数跳扩散模型欧式期权定价

Pricing European options under a double exponential jump-diffusion model with multi-factor CIR market structure risks

第二章，主要介绍了标准欧式期权的定价（Black-Scholes定价模型）。

In chapter 2 , the pricing problems of vanilla European options are introduced ( Black-Scholes pricing model ) .

基于考虑股票不支付红利和支付连续红利的两种情况，本文给出了欧式期权风险指标var的计算公式。

Based on study of two different cases , stock without payment of bonus and stock with payment of successive bonus , this paper gives formula of Europe style option risk index var.

Mellin变换在欧式期权定价中的应用

Mellin Transform Solution for the European Options

基于股票价格的对数正态分布假设，Black-Scholes模型运用连续交易保值策略成功解决了有效证券市场中的欧式期权定价问题。

Based upon underlying asset 's lognormal distribution and hedging continuously , Black-Scholes model has solved European option 's pricing in efficient market successfully .

研究了股票价格的行为模式，运用随机分析中的鞅方法推广了Merton关于欧式期权定价的结果。

The behavior model of stock price is studied . The results of Merton on European option pricing by martingale method are given .

欧式期权和交换期权在随机利率及O-U过程下的精算定价方法

Actuarial pricing approach to Europe option and exchange option under stochastic interest rates and O-U process

结论表明：著名的BlackScholes期权定价公式是我们所得到的定价公式的特殊情形；与标准的欧式期权相比，幂函数族之权证具有降低权利金和易于避险的功能。

Closed solution and simulation are gained , which induced that the Black-Scholes formula ( 1973 ) is the special case and Power-Function Options are benefit to low premium and hedging compared the European options .

讨论了指数OU过程模型所对应的指数鞅成立的条件，并用鞅方法定价了指数OU过程模型双向欧式期权。

In this paper , we discuss the condition of exponential martingale for Ornstein Uhlenbeck process model in detail and price bi direction European option driven by Ornstein-in-Uhlenbeck process .

在风险中性的假设下，推导出了股票价格的跳过程为复合Poisson过程的欧式期权定价公式，推广了Merton的结果。

The formula of European option whose stock price with jump process is a compound Poisson process is deduced under the risk-neutral hypothesis , and it is extended that Merton option pricing model .

更进一步，我们研究标的资产由Levy过程驱动的欧式期权定价，假定无风险利率和波动率都是一般随机过程，通过等价测度变换，在Q测度下，给出定价公式和套期策略。

The stock price is driven by the Levy process . The risk free rate and volatility are stochastic process , by change of probability measure , under the probability Q , we obtain pricing formula and hedging of European option .

而对于有分红的美式看涨期权而言，由于其具有提前执行的特性，无法像欧式期权一样得到封闭解，因此人们常采用格点法与蒙特卡罗模拟法（MonteCarloMethod）为其定价。

In terms of the American call option with dividend , because of the property that it can be executed before expire , in very few special cases , closed form solutions can be found . More often , lattice method and Monte Carlo simulation method are necessary for pricing .

用较简单的数学方法，推导出了非风险中性定价意义下的股票欧式期权定价公式，该公式在风险中性意义下包含了原始的Black-Scholes公式。

Via some simplified mathematical approach , we derive the pricing formulae of European options of stocks with no risk-neutral valuation , which includes the original Black-Scholes formula under the risk-neutral valuation .

针对布朗运动和泊松过程共同驱动下股票价格的随机微分方程，利用Ito公式和随机积分的方法，得到了该形式下欧式期权定价的模型，并给出了模型的求解。

The model of European option pricing for a given stochastic differential equation driven by the Brownian motion and Poisson process is obtained and the solution of the model is given out by using Ito formula and the method of stochastic differential .

计算探讨了单资本期权有关的风险控制参数Delta、Theta、Vega和Rho，数值比较了美式期权和欧式期权中这些参数的异同。

We also discuss the risk management parameters ( Greeks ) of Single-asset Option , such as Delta , Theta , Vega and Rho , and compare the different property of Greeks of American Option to those of European Option .

着重研究了保险期权的欧式期权与永久性美式期权定价，并在文献[2]基础之上，根据等价鞅或风险中性性质获得了比较令人兴奋的结论&类似于Black-Scholes期权定价公式与Merton期权定价公式。

Based on reference [ 2 ] and using equivalent martingale or the risk-neutral nature , the author reaches exciting conclusions , which are similar to the Black-Scholes option pricing formula and Merton option pricing formula .

本文利用不同的方法研究标准期权和奇异期权的定价，一种方法是倒向随机微分方程方法，一种是Monte-Carlo方法。对标准欧式期权和两种典型的奇异期权进行数值计算并加以比较。

One approach is Backward Stochastic Differential Equations methods , the other one is the Monte-Carlo method . It calculates Standard European options and two kinds of exotic options with both of the methods , and then compares the results for these two methods .

1973年，两位伟大的金融理论家与实务家FisherBlack和MyronScholes发表了他们的著名论文期权定价与公司债务，给出了欧式期权定价的显式表达式，即著名的Black-Scholes公式。

In 1973 , two great financial theorists and practices Fisher Black and Myron Scholes published their famous paper The Pricing of Options and Corporate Liability which gave the Black-scholes formula , an explicit formula of the pricing of European Option .