2025年6月4日 20:50 星期三
首页 > 过刊浏览>2015年第7卷第3期 >214-220
PDF HTML阅读 XML下载 导出引用 引用提醒
金融领域的随机建模与基于软件R的MonteCarlo模拟(3):随机对数线性模型
作者:
基金项目:

国家自然科学基金(11171056,1117 1081)


Stochastic modelling in finance and Monte Carlo simulations with R Part C:Stochastic Log-linear model
Author:
  • 摘要
    • | |
  • 访问统计
    • |
  • 参考文献
    • |
  • 相似文献
    • | | |
  • 文章评论
    摘要:

    主要研究了随机对数线性(SLL)模型以及如何基于SLL模型计算欧式期权平均收益.此外,还演绎了资产价格的Monte Carlo模拟.

    Abstract:

    The key aim of this serial articles is to study various stochastic models in finance with emphasise on the Monte Carlo simulations with R for these models.This paper investigates the stochastic Log-linear (SLL) model and obtains the mean payoff of European options.Moreover,this paper discusses how to perform Monte Carlo simulations on the asset price.

    参考文献
    [1] 毛学荣,李晓月.金融领域的随机建模与基于软件R的Monte Carlo模拟(2):Cox-Ross-Rubinstein模型[J].南京信息工程大学学报:自然科学版,2015,7(2):125-132
    MAO Xuerong,LI Xiaoyue.Stochastic modelling in finance and Monte Carlo simulations with R.Part B:Cox-Ross-Rubinstein model[J].Journal of Nanjing University of Information Science and Technology:Natural Science Edition,2015,7(2):125-132
    [2] Cox J C,Ross S,Rubinstein M.Oprion pricing:A simplified approach[J].J Financial Economics,1979,7(3):229-263
    [3] Black F,Scholes M.The pricing of options and corporate liabilities[J].The Jourual of Political Economy,1973:81(3):637-654
    [4] Merton R C.Theory of rational option pricing[J].The Bell Journal of Economics and Management Science,1973,4(1):141-183
    [5] Tretyakov M V.Introductory course on financial mathematics[M].London:Imperial College Press,2013
    [6] Etheridge A.A course in financial calculus[M].Cambridge:Cambridge University Press,2002
    [7] Higham D J.An introduction to financial option valuation[M].Cambridge:Cambridge University Press,2004
    [8] Korn R,Korn E.Option pricing and portfolio optimization:Modern methods of financial matematics[M].Providence,RI:Americal Mathetical Society,2001
    [9] Loève M.Probability theory[M].3rd Ed.Princeton,NJ:D Van Nostrand Company,1963
    [10] Venables W N,Smith D M,the R Development Core Team.An introduction to R:A programming environment for data analysis and graphics[R].Version 2.10.1,2009
    [11] Karatzas I,Shreve S E.Brownian motion and stochasrtic calculus[M].New York:Springer-Verlag,1988
    [12] Mao X R.Stochastic differential equations and applications[M].2nd Ed.Chichester:Horwood Publishing,2007
    [13] Mao X R,Yuan C.Stochastic differential equations with markovian switching[M].London:Imperial College Press,2006
    引证文献
    网友评论
    网友评论
    分享到微博
    发 布
引用本文

毛学荣,李晓月.金融领域的随机建模与基于软件R的MonteCarlo模拟(3):随机对数线性模型[J].南京信息工程大学学报(自然科学版),2015,7(3):214-220
MAO Xuerong, LI Xiaoyue. Stochastic modelling in finance and Monte Carlo simulations with R Part C:Stochastic Log-linear model[J]. Journal of Nanjing University of Information Science & Technology, 2015,7(3):214-220

复制
分享
文章指标
  • 点击次数:850
  • 下载次数: 2443
  • HTML阅读次数: 0
  • 引用次数: 0
历史
  • 收稿日期:2014-09-13
  • 在线发布日期: 2015-06-26

地址：江苏省南京市宁六路219号    邮编：210044

联系电话：025-58731025    E-mail：nxdxb@nuist.edu.cn

南京信息工程大学学报 ® 2025 版权所有  技术支持：北京勤云科技发展有限公司