monte carlo stock 中文意思是什麼
monte carlo stock
解釋
蒙地卡羅式槍托-
One is the evt - based var model ( including gev model and gpd model ), the other is the quantile regression var model. secondly, i evaluate predictive performance of a selection of var models for chinese stock market data. these var models include riskmetrics method, historical simulation, monte carlo method, and the three recent models based on quantile regression and extreme value theory
本文首先重點探討了極值分佈var模型（包括廣義極值分佈和廣義帕雷托分佈兩個模型）和分位數回歸var模型；然後在此基礎上將六個var模型（包括上述三種模型、歷史模擬法、 riskmetrics方法以及蒙特卡洛法）實證應用於估計上證指數、上證180 、深證成指、深證綜指95 var和99 var ；同時採用區間預測法、損失函數法和符號檢驗法對這些var模型進行了選擇評估。 -
In the first chapter, we narrate the characteristic of convertible bond, give some clues about development and actuality of the market and its pricing theory ; in the second chapter, we introduce modeling idea and some material problems in the model in detail, draw the yield curve which is very important to the model by spline method ; in the third chapter, we first explain the basic idea and convergent speed of monte carlo method, then, give the mathematical description for financial market, prove equivalence of non - arbitrage market, existence of risk neutral probability measure in the market and the price process of underlying asset is a martingale ; in the forth section, we introduce how to simulate stock price path by monte carlo method in detail, based on foregoing result, we prove the path is a martingale, thereby, the model is logical
本文第一章先對可轉債的特點、市場發展和現狀及其定價理論的發展和現狀作一概述;第二章詳細介紹了建模思想和模型中的一些具體問題，利用spline方法繪出了在模型中具有重要作用的收益曲線;第三章首先敘述了montecarlo方法的基本思想和有關其收斂速度的一些性質，然後從數學的角度給出了對金融市場的描述，證明了市場無套利、市場存在風險中性概率測度及標的資產價格過程為鞅的等價性;在第四節中，對用montecarlo方法模擬的帶跳股價路徑作了詳細介紹，並利用前兩節的結論證明了模擬的帶跳股價路徑為一個鞅過程，從而保證了模型在理論上的合理性。 -
Based on the diffusion equation, the transition probability density of stock prices is calculated by means of the monte - carlo method
摘要在擴散方程對股價運行描述的基礎上，用蒙特卡羅方法得出未來某一時刻股價轉移概率密度的數值解。 -
Based on the review of the evolutions of stock indices and the innovations of index products, this article discussed the different methods of index replication, and then sum med up those researches on different methods, arithmetic models and their implications, including quadric programming, lineal programming, robust regression, monte carlo simulation and genetic algorithm, etc. aiming to give a technical reference for index derivatives design, index arbitrage, and indexing investment
摘要在回顧證券價格指數演變及指數衍生品創新的基礎上，探討了指數復制的不同方法，進而從文獻綜述的角度對證券價格指數復制中涉及到的方法與演算法模型進行整理，總結了二次規劃、線性規劃、魯棒回歸、蒙特卡洛模擬以及遺傳演算法等不同方法與模型的具體應用，為指數衍生品產品設計、指數套利以及實施指數化投資策略提供技術參考。 -
Monte carlo stock
蒙地卡羅式槍托 -
Based on the fractals of the capital market, this paper derives a fractional geometric brownian motion model for the stock price. this paper constructs a formula for option pricing on the basis of the fractional brownian motion model. on the one hand, this paper draws on the latest researches in this field : the explicit formula for european option pricing ? the fractional brownian motion formula for option pricing ; on the other hand, the analytical solution is derived through the monte carlo simulation
基於資本市場的分形特性，本文接著推導出股票價格變化的幾何分數布朗運動模型;隨后，在該模型的基礎上，本文研究了在分數布朗運動環境下的期權定價模型，一方面引用了國際上最新的研究成果:在分數black - scholes完全市場下，歐式期權定價的顯式公式-分數black - scholes期權定價公式;另一方面，又運用蒙特卡羅模擬法，通過模擬股票價格變化的路徑並進行貼現，得出了歐式期權價格的數值解。
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