ÉϺ£ÖÎÀíÂÛ̳µÚ409ÆÚ£¨Athanasios Pantelous½ÌÊÚ, °Ä´óÀûÑÇĪÄÉʲ´óѧ£©
Ìâ Ä¿£ºPricing Discretely-Monitored Double Barrier Options with Small Probabilities of Execution £¨Ó×Ö´ÐиÅÂÊϵÄÀëÉ¢¼à¶½×è°ÆÚȨ¶¨¼Û£©
ÑÝ ½² ÈË£ºProf. Athanasios Pantelous£¬°Ä´óÀûÑÇĪÄÉʲ´óѧ
Ö÷ ³Ö ÈË£ºÖܽ¨½ÌÊÚ£¬Ð±¦GGÖÎÀíѧԺ
ʱ ¼ä£º2019Äê11ÔÂ8ÈÕ£¨ÖÜÎ壩£¬ÉÏÎç10:30
µØ µã£ºÐ£±¾²¿¶«ÇøÖÎÀíѧԺ467ÊÒ
Ö÷°ìµ¥Ôª£ºÐ±¦GGÖÎÀíѧԺ¡¢Ð±¦GGÖÎÀíѧԺÇàÀÏ´óʦÁªÒê»á
Ñݽ²È˼ò½é£º
Pantelous½ÌÊÚÊǰĴóÀûÑÇĪÄÉʲ´óѧ¾¼ÃÓëóÒ×ͳ¼ÆÏµµÄ½ÌÊÚ£¬Í¬Ê±Ò²ÊǼ¼ÊõÓëϵͳÖÎÀíÖÐÐĸ±Ö÷ÈΣ¬×¨Ò»ÓÚÁ¿»¯½ðÈÚ΢·çÏÕÖÎÀíµÄ×êÑС£ËûÕ¼ÓÐÑŵä´óѧͳ¼ÆÑ§¼°Â×¶Ø´óÑ§Ëæ»ú½¨Ä£¼°ÏµÍ³ÀíÂÛ2¸ö²©Ê¿Ñ§Î»¡£Pantelous½ÌÊÚ¸ÐÐËÖÂÓÚ·çÏÕ¼°²»È·¶¨Ç°ÌáϵÄÊýѧ½¨Ä£×êÑУ¬ÔÚ¾«Ëãѧ¡¢Á¿»¯½ðÈÚ¡¢ÍÆËã»úÊýѧ¡¢ÀûÓÃËæ»ú·ÖÎö¡¢ÏµÍ³ºÍ½ÚÔìÀíÂÛÒÔ¼°Ëæ»ú¶¯Á¦Ñ§µÈ·½ÏòÉϾùÓÐÉæÁÔ¡£ÆäÀíÂ۳ɾÍÔÚ¾«Ëãѧ¡¢¹¤³Ì¡¢¾¼Ã¼°½ðÈÚÁìÓòÉÏÒÑÓÐ¿í·ºÀûÓᣠPantelous½ÌÊÚÒѾÔÚÊýѧ¡¢¾¼ÃÖÎÀí¡¢½ðÈÚ¡¢¹¤³ÌµÈÁìÓòµÄ¹ú¼ÊȨÍþѧÊõÆÚ¿¯Éϰ䷢ 140ÓàÆªÂÛÎÄ£¬ÊǶà¸ö¹ú¼ÊѧÊõ»áÒéµÄÉó¸åÈË¡¢×éÖ¯Õß¡£ËûÊÇÁ¿»¯½ðÈÚ΢·çÏÕ·ÖÎöϵÁÐѧÊõ×êÑлáµÄÖ÷ϯ¼°´´°ìÈËÖ®Ò»£¬Í¬Ê±»¹µ£ÈÎ ASCE-ASME Journal of Risk and Uncertainty in Engineering SystemsµÄ¿Í×ùÖ÷±à¡£
Ñݽ²ÄÚÈݼò½é£º
±¾½²×ùÖØÒªÝÓÈÆÒ»ÖÖеĻùÓÚËæ»ú·ÂÕÕµÄÀëÉ¢¼à¿ØË«×è°ÆÚȨ¶¨¼Û²½ÖèºÍÆäÏàÓ¦µÄÖ´ ÐиÅÂÊ¡£Õâ¸ö²½ÖèÄܹ»×÷Ϊһ¸öͨÓõŤ¾ßÀ´¹À¼Æº±¼ûÊÂÎñµÄ¸ÅÂÊ£¬³ÆÎª×Ó¼¯·ÂÕÕËã·¨¡£Í¨¹ý˼¿¼»ù´¡×ʲú¼ÛÖµÑݱäµÄºÏÀí¶¯Ì¬£¬µ±»ù´¡×ʲúÓµÓкܸߵĵßô¤ÐÔ£¬²¢ÇÒ½«×è°Éè ÖÃΪ¿¿½ü»ù´¡×ʲúµÄÏÖ»õ¼Ûֵʱ£¬¸Ã²½Öè×ÜÊÇÓÅÓڳ߶ȵÄÃÉÌØ¿¨Âå²½Ö裬ÇÒЧÄܱÈÖ®´ó´óÌá¸ß¡£´Ë±í£¬ÔÚ×è°ÎïÆÚȨºÍ»ù´¡×ʲúµÄÓÐÐ©ÌØÊâÇé¿öʹµÃ¶¨¼ÛÎÊÌâת±äΪ¶Ôº±¼ûµÄÊÂÎñ¹À¼Æ£¬ÔÚÕâÑùµÄÇé¿öÏ£¬Óë¶à¼¼ûÉÌØ¿¨Âå²½ÖèÏà±È£¬±¾²½ÖèµÄ³ÉЧ¸üºÃ¡£Áí±í£¬Ò²Í¨¹ý´óÁ¿µÄ·ÂÕÕ³¢ÊÔ»¹ÑéÖ¤ÁËÕâЩ½áÂÛ¡£
Ó½Ó¿í´óʦÉú²ÎÓ룡