A Full Asymptotic Series of European Call Option Prices in the SABR Model with Beta = 1

来源 :应用数学(英文) | 被引量 : 0次 | 上传用户:lucky198411
下载到本地 , 更方便阅读
声明 : 本文档内容版权归属内容提供方 , 如果您对本文有版权争议 , 可与客服联系进行内容授权或下架
论文部分内容阅读
We develop two new pricing formulae for European options. The purpose of these formulae is to better understand the impact of each term of the model, as well as improve the speed of the calculations. We consider the SABR model (with β=1) of stoch
其他文献
目的 探讨肾脏彩色多普勒在非肾小球源性血尿患儿胡桃夹综合征诊断的作用。方法 580例非肾小球源性血尿患儿入血尿组,同期50例健康患儿作为对照组,对2组均进行肾脏彩色多普勒
This paper examines the allocation of resource to different tasks in a production company. The company produces the same kinds of goods and want to allocate m n
<正>出色的iPAO H3800系列PDA差不多可以满足你的所有需求。而对于那些永不满足的人来说,新的HP iPAQ PocketPC H3970 (750美元)能够提供更快的处理速度、更好的显示屏,另外
With the development of economy, more and more attention is paid to the relationship between money supply and inflation in the economic field. This paper choose
Many Optimization problems in engineering and economic involve the challenging task of pondering both conflicting goals and random data. In this paper, we give
以不同固相合成工艺制备了Ag(Nb0.8Ta0.2)O3粉末,并对其压片烧结后样品的XRD和SEM图进行了分析,对成瓷性较好的样品的介电性能进行了测试.结果表明:不同工艺均可合成具有钙钛矿结构的
<正> 在今年5月, 《个人电脑》曾经对来自安氏中国的Command AntiVirus杀毒软件作过评测,它的小巧实用引起了我们的注意。当时这款软件还只有英文版,这次我们收到了它的中文
<正> 我们前进了多少?如果我说“我的PC不够快,又太复杂,插卡和接线也太多”你觉得这样的抱怨是来自1982年呢?还是来自2002年呢?或者是来自PC出现后的任意一年呢?依我看,进步
这里为你展示了一种免费而简便的拦截广告的方法
This research presents a problem relevant to production scheduling for mixed models – production schedules that contain several unique items, but each unique i