ụ l ục 3 kết quả xử lý dữ liệu câu hỏi khảo sátbằng phần mềm spss

QUANTUM FINANCE Path Integrals and Hamiltonians for Options and Interest Rates doc

Ngày tải lên : 23/03/2014, 12:20

... securities 3. 1 Forward and futures contracts 3. 2 Options 3. 3 Stochastic differential equation 3. 4 Ito calculus 3. 5 Black–Scholes equation: hedged portfolio 3. 6 Stock price with stochastic volatility 3. 7 ... variable, the security S(T ) is a lognormal random variable Campbell et al [ 23] discuss the results of empirical studies on the validity of modelling security S as a lognormal random variable Geometric ... than actually possessing the asset An option C is a contract to buy or sell (called a call or a put) that is entered into by a buyer and a seller For a European call option the seller of the...

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finance - turning finance into science - risk management and the black-scholes options pricing model

Ngày tải lên : 08/04/2014, 12:09

... magazine called Derivatives Strategy sponsore d a discussion group called “First Kill All the Models” (Stix, 1998) This group reflects the recent backlash against financial 13 models Many figures ... trajectory could be consta ntly update d (NOVA Online, 2000) Merton applied this idea to the Black- Scholes model so that the value of an option could be constantly recalculated and risk eliminate ... these “financial engineers” People need a fast and reliable way to calculate and control the risk involved in all their stock trading This is where the Black- Scholes Option Pricing Model comes in...

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POWER SERIES TECHNIQUES FOR A SPECIAL SCHRÖDINGER OPERATOR AND RELATED DIFFERENCE EQUATIONS MORITZ docx

Ngày tải lên : 23/06/2014, 00:20

... r-values if (3. 10) is not fulfilled (We will come back to the physical consequences later.) Now the question arises whether the corresponding “solutions” ψ(x) = xr ∞ ηn xn n= of (2 .3) are really ... conditions (3. 8) and (3. 9) to the stronger condition b ∈ Z \ {1 } / (3. 10) If (3. 10) is satisfied, the difference equation (3. 3) will make sense for both r-values, whereas it will only provide a ... , (3. 15) where ψ1,2 denote the solutions of (2 .3) as written down in Theorem 3. 2 We have a closer look at the functions y1,2 in Corollary 3. 3 at least in the case (iii) They possess the explicit...

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Định giá cổ phiếu phát hành lần đầu theo mô hình định giá quyền chọn Black Scholes trên thị trường chứng khoán Việt Nam .

Ngày tải lên : 09/04/2013, 15:03

... Email : lienhe@docs.vn Tel : 0918.775 .36 8 Các dịch vụ quản l danh mục đầu tư chứng khoán giúp cho l c l ợng cầu thị trường có chất l ợng cao hơn,tránh ảnh hưởng thái tâm l trình đầu tư góp phần ... http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775 .36 8 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775 .36 8 DANH MỤC CÁC CHỮ VIẾT TẮT CAPM Cappital Asset Pricing Model HĐKH Hợp đồng ... http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775 .36 8 Website: http://www.docs.vn Email : lienhe@docs.vn Tel : 0918.775 .36 8 1.7.2.Phân loại QC a.Phân loại theo vị mua bán: Quyền mua (call option):...

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Markov processes and the Kolmogorov equations

Ngày tải lên : 18/10/2013, 03:20

... ,tuxxt; x: 186 Plugging these formulas into the partial differential equation for v and cancelling the erT ,t appearing in every term, we obtain the Black-Scholes partial differential equation: ... terminal condition vT; x = hx; x 0: Furthermore, if S t = for some t 0; T , then also S T = condition vt; 0 = h0; This gives us the boundary t T: Finally, we shall eventually see ... are making the change of variable y = x exp b + r , 2t1 , t0 or equivalently, The derivative is h y i b = log x , r , 2t1 , t0 : dy = y; db or equivalently, db = dy : y 180 Therefore,...

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The Schwarzschild Solution and Black Holes

Ngày tải lên : 23/10/2013, 20:20

... Nevertheless, we believe that a suﬃciently massive neutron star will itself 192 THE SCHWARZSCHILD SOLUTION AND BLACK HOLES be unable to resist the pull of gravity, and will continue to collapse ... SOLUTION AND BLACK HOLES 0.8 General Relativity massive particles 0.6 0.4 L= 1 0.2 0 10 20 30 r 0.8 General Relativity massless particles 0.6 0.4 L= 5 0.2 0 10 20 r 30 179 THE SCHWARZSCHILD SOLUTION ... goes down as the mass goes up, so for black holes of mass comparable to the sun it is completely negligible Still, in principle the black hole could lose all of its mass to Hawking radiation, and...

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Numerical Solutions of the Black Scholes Equation

Ngày tải lên : 25/10/2013, 19:20

... Finally, we note that if θ = 0, then the matrix A becomes the unit matrix and we have the trivially simple explicit solution explained in Section 8 .3 (vi) Discretization of the Full Black Scholes ... the Black Scholes Equation Table 8.1 Crank Nicolson example T = 0.0000 0.1667 0 .33 33 0.5000 t = 0.0000 0.0 033 0.0067 0.0100 u x = ln S n m f0 4.85 127.76 27.76 n= initial condition 35 45.94 4.77 ... does in fact work, although not especially well, and we will see below that if we are careless in applying the scheme it can lead to quite spurious answers (viii) Crank Nicolson: This is the most...

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The Black Scholes Model

Ngày tải lên : 25/10/2013, 19:20

... r replaced by µ (iv) General Black Scholes Formula for Put or Call: Recall the put–call parity relationship of Section 2.2(i): F0T + P0 er T = X + C0 er T Substitute from the Black Scholes expression ... SCHOLES MODEL (i) Some Useful Differentials: The Black Scholes model gives speciﬁc analytical formulas for the prices of European put and call options It is therefore possible to give formulas for ... constant, we also have Ft T = t T We may therefore write Volatility of Ft T = volatility of tT = var ln St = σ In general, the volatility of the forward price equals the volatility of the spot...

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Phương trình vi phân ngẫu nhiên và vấn đề định giá quyền chọn theo mô hình black scholes khoá luận tốt nghiệp đại học

Ngày tải lên : 19/12/2013, 14:05

... xut mt mụ hỡnh (mụ hỡnh BlackScholes) v tng ng thit lp cụng thc (cụng thc Black-Scholes) xỏc nh giỏ ca cỏc quyn chn v cỏc khon n kiu Chõu u (xem [10]) 27 Mụ hỡnh Black-Scholes i khụng l u sau ... cụng thc Black - Scholes s tr thnh S0 - 0.1 = S0 g Cụng thc Black - Scholes rc = : L i sut phi ri ro bng khụng phi l mt trng hp c bit Tc l khụng nht thit phi cú mt mc l i sut dng v cụng thc Black ... c t L ( [ 0, T ] ) ì ) vo L2 () Mi f L2 (B) l gii hn L2 (B) ca mt dóy cỏc hm f n o c dn Do ú, f n l mt dóy Cauchy L2 (B) T ú suy I( f n ) l dóy Cauchy L2 () (do tớnh ng c) Vỡ L2 () l mt khụng...

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Tài liệu Bài 5: Định giá quyền chọn bằng mô hình Black-Scholes pptx

Ngày tải lên : 25/01/2014, 11:20

... sinh l i ghép l i liên tục (logarit) cổ phiếu l i suất phi rủi ro ghép l i liên tục CÔNG THỨC ĐOẠT GIẢI NOBEL Sử dụng cơng thức Black-Scholes để định giá quyền chọn mua cổ phiếu AOL tháng 6: • ... tính thể tốt mơ hình thời gian liên tục Mơ hình Black-Scholes sử dụng khn khổ mơ hình thời gian liên tục để định giá quyền chọn GIẢ ĐỊNH CỦA MÔ HÌNH BLACK SCHOLES Giá cổ phiếu biến động ngẫu ... Giá cổ phiếu $125, 937 5 • Thời gian đến đáo hạn 0,0959 • L i suất phi rủi ro 4,56% • Độ l ch chuẩn = 0, 83 L i suất phi rủi ro phải biểu diễn dạng l i suất ghép l i liên tục Rc = ln(1,0456) = 4,46...

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Functional analysis sobolev spaces and partial differential equations

Ngày tải lên : 04/02/2014, 11:10

... the limit we ﬁnd Tx ≤ c x ∀x ∈ E Since T is clearly linear, we obtain (b) Finally, we have Tn x ≤ Tn L( E,F ) x ∀x ∈ E, and (c) follows directly • Corollary 2.4 Let G be a Banach space and let ... (Theorem 1.6) is still valid in general topological vector spaces The second geometric form (Theorem 1.7) holds in locally convex spaces—such spaces play an important role, for example, in the theory ... the conclusion of Corollary 1.2 Chapter The Uniform Boundedness Principle and the Closed Graph Theorem 2.1 The Baire Category Theorem The following classical result plays an essential role in...

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Tài liệu Boundary Value Problems, Sixth Edition: and Partial Differential Equations pptx

Ngày tải lên : 17/02/2014, 14:20

... Functions 32 9 Spherical Coordinates; Legendre Polynomials 33 5 Some Applications of Legendre Polynomials 34 5 Comments and References 35 3 Chapter Review 35 4 Miscellaneous Exercises 35 4 Deﬁnition and Elementary ... Properties 36 3 Partial Fractions and Convolutions 36 9 Partial Differential Equations 37 6 More Difﬁcult Examples 38 3 Comments and References 38 9 Miscellaneous Exercises 38 9 Numerical Methods 39 7 7.1 ... Library Cataloguing in Publication Data A catalogue record for this book is available from the British Library ISBN 13: 978-0-12-5 637 38-1 ISBN 10: 0-12-5 637 38-1 For all information on all Elsevier...

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Entropy and partial differential equations evans l c

Ngày tải lên : 17/03/2014, 14:29

... (S, V ) (ii) F is locally strictly concave in T , locally strictly convex in V (iii) H is locally strictly concave in P , locally strictly convex in S (iv) G is locally strictly concave in (T, ... equilibrium A Thermal systems in equilibrium We start, following Callen [C] and Wightman [W], by introducing a simple mathematical structure, which we will later interpret as modeling equilibria ... minimization 14 Lastly we mention some physical variational principles (taken from Callen [C, p 131 – 137 ]) for isolated thermal systems Entropy Maximization Principle The equilibrium value of any...

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harmonic analysis and partial differential equations - b. dahlberg, c. kenig

Ngày tải lên : 31/03/2014, 15:16

... y-axis is parallel to the axis of symmetry of L and L \ = L \ f(x; y) : y > '(x)g and L \ @ = L \ f(x; y) : y = '(x)g A domain D Rn+1 is called special Lipschitz domain if there is a Lipschitz function ... all g L1 : 5) M is bounded in Lp; < p < 1, i.e., there exists a Cp > such that kMgkp Cpkgkp for all g Lp: Here 3) is trivial, 4) can be proven by a covering lemma argument and 5) follows from 3) , ... nontangential limit L at a point P @C if u(Q) ! L as Q ! P; Q ? for all nontangential cones ? with vertices at P Finally we de ne the nontangential maximal function M u for > and function u de ned in Lipschitz...

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math. and phys. data - equations and rules of thumb - s. gibilisco

Ngày tải lên : 31/03/2014, 16:19

... Chemical Symbols and Atomic Numbers Derivatives Indeﬁnite Integrals Fourier Series Fourier Transforms 200 204 218 230 234 240 244 249 261 2 63 2 73 286 292 30 6 30 8 31 5 31 8 32 6 32 7 33 5 33 9 34 4 34 7 34 9 ... grouped For all real numbers a1, a2, and a3, and for all complex numbers a1 ϩ jb1, a2 ϩ jb2, and a3 ϩ jb3, the following equations hold: (a1a2)a3 ϭ a1(a2a3) ((a1 ϩ jb1)(a2 ϩ jb2))(a3 ϩ jb3) ϭ (a1 ... jb2)(a3 ϩ jb3)) Distributivity of multiplication over addition For all real numbers a1, a2, and a3, and for all complex numbers a1 ϩ jb1, a2 ϩ jb2, and a3 ϩ jb3, the following equations hold: a1(a2...

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Báo cáo hóa học: " Local stability of the Pexiderized Cauchy and Jensen’s equations in fuzzy spaces" pptx

Ngày tải lên : 20/06/2014, 22:20

... stability of functional equations and a problem of Ulam Acta Appl Math 62, 23 130 (2000) doi:10.10 23/ A:10064992 235 72 Rassias, ThM, (ed.): Functional Equations and Inequalities Kluwer Academic Publishers, ... inequality Math Inequal Appl 4, 93 118 (2001) Jung, S-M: Hyers-Ulam-Rassias stability of Jensen’s equation and its application Proc Am Math Soc 126, 31 37 31 43 (1998) doi:10.1090/S0002-9 939 -98-04680-2 ... Najati et al Journal of Inequalities and Applications 2011, 2011:78 http://www.journalofinequalitiesandapplications.com/content/2011/1/78 Following [30 ], we give the following notion of...

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Báo cáo hóa học: " Research Article First-Order Singular and Discontinuous Differential Equations" docx

Ngày tải lên : 21/06/2014, 20:20

... solutions for 1.1 between a pair of well-ordered lower and upper solutions and in lack of a local L1 bound Solutions will be weak, in the sense of the following definition By ACloc t0 , t0 L we ... ε,t0 L ∈ AC t0 ε, t0 L for all ε ∈ 0, L , and in a similar way we define L1 t0 , t0 L loc 14 Boundary Value Problems Definition 5.1 We say that α ∈ C I ∩ ACloc t0 , t0 L is a weak lower solution ... u ∈ α, β , u ≤ g a.e , 3. 14 x∗ t sup l t : l lower solution of 1.1 , l ∈ α, β , l ≤ g a.e 3. 15 Let u be an upper solution of 3. 6 and let us show that u t ≥ α t for all t ∈ I Reasoning by contradiction,...

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Báo cáo hóa học: " Research Article Stability of Mixed Type Cubic and Quartic Functional Equations in Random Normed Spaces" potx

Ngày tải lên : 22/06/2014, 02:20

... ρ0,x 3t ≥ ρ0,x t 2.5 t ≥ ρ0,x 23 t 2.6 for all x ∈ X and all t > Thus we have μf 2x / 23 −f x for all x ∈ X and all t > Therefore, μf 2k x / 23 k −f 2k x /23k t ≥ ρ0,2k x 23 k t 2.7 for all x ∈ ... 24f y 6f x −3f 2y t ≥ ρx,y t 2.1 for all x, y ∈ X and all t > Theorem 2.1 Let f be odd and let lim T ∞ n→∞ i ρ0,2n i−1 x 23n 2i t lim ρ2n x,2n y 23n t n→∞ 2.2 for all x, y ∈ X and all t > 0, then ... and all k ∈ N Therefore we have μf 2k x / 23 k −f 2k x /23k t 2k ≥ ρ0,2k x 22 k t 2.8 Journal of Inequalities and Applications for all x ∈ X, t > and all k ∈ N As > 1/2 follows μf 2n x /23n −f...

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Báo cáo hóa học: " Editorial Harnack’s Estimates: Positivity and Local Behavior of Degenerate and Singular Parabolic Equations" pdf

Ngày tải lên : 22/06/2014, 19:20

... invariant Finally, these results are applied to several examples of operators Lewis and Vogel study overdetermined boundary conditions for positive solutions to some elliptic partial differential equations ... and Vazquez study local and global properties of positive solutions to the so-called fast diffusion equation, namely ut − Δum = (4) when m < The paper collects and expands in a well-organized way ... singular solutions Biroli and Marchi investigate the validity of the elliptic Harnack inequality for Schr¨ dinger-type operators defined by a class of strongly local, p-homogeneous Dirichlet o forms...

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NONSMOOTH AND NONLOCAL DIFFERENTIAL EQUATIONS IN LATTICE-ORDERED BANACH SPACES ¨ SIEGFRIED CARL AND doc

Ngày tải lên : 23/06/2014, 00:20

... this solution (u∗ ,v∗ ) is the only solution of (3. 13) between u and u Moreover, (3. 13) has only one minimal solution, (u− ,v− ) and only one maximal solution (u+ ,v+ ), and thus they are the least ... results of Theorems 3. 2, 4.2, and 5.2 and Corollaries 3. 3, 4 .3, and 5 .3 hold when E is one of the spaces listed above Problems of the form (3. 1), (4.1), and (5.1) include many kinds of special ... are equal to u, and this solution (u∗ ,v∗ ) is also the greatest of all the solutions of (5.15) Moreover, (5.15) has only one minimal solution (u− ,v− ) and thus is the least of all the solutions...

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