The pricing formula of stock option with the rules of limit up and limit down

借鉴MErTOn的跳跃扩散模型的思想,根据中国股市的具体情况,用含有POISSOn过程的ITO-SkOrOHOd随机微分方程描述股票价格的运动.利用鞅定价技巧(风险中性方法)推导出考虑涨跌停规则的跳跃扩散的股票期权在T时刻的价格公式,并利用随机模拟和中心极限定理讨论如何具体计算股票期权的价格.Based on the idea of jump and pervasion by Merton,a model for underlying asset price with a diffusion process involving jump and pervasion was established.By applying Ito-Skorohod formula and martingale pricing sleight within the framework of our model,a closed form analytic solution for the pricing formula of stock option with the rules of limit up and limit down was derived.Then,the idiographic forms on the different circumstances by stochastic simulation and center limit theorem is discussed.国家自然科学基金资助项目(11001142;10671103

Credit risk of the foreign stock option with the stochastic exchange rate

在结构化模型下,考虑标的资产价格与该资产所属企业的企业价值以及汇率均为随机的情况,对一类外国股票期权分别用内币执行价和外币执行价进行了信用风险分析,并采用鞅方法得到了不确定汇率下的该类外国股票期权的信用风险定价.On the hypothesis of underlying asset price,enterprise value and exchange rate were stochastic,we re-searched the method of how to analyze the credit risk of the foreign stock option by the strike price with foreign cur-rency and inland currency.By applying the method of structural approach,we derived the pricing formulas of default option with stochastic exchange rate.国家自然科学基金(11001142); 福建省教育厅科学研究项目(JB11173;JB12171); 莆田学院教育教学改革项目(JG201112

缩氨基硫脲化合物的合成及对菜青虫酚氧化酶抑制作用研究

菜青虫是危害农作物的主要害虫,酚氧化酶在昆虫的生长发育过程中起着重要的调节作用,高效的酚氧化酶抑制剂对于发展新型"环境友好"杀虫剂有着重要的意义.设计合成了4种缩氨基硫脲类化合物,采用红外光谱、质谱和核磁共振谱对其进行结构鉴定,进一步研究了它们对菜青虫酚氧化酶的抑制作用,结果表明,4种化合物均有显著的抑制作用,其半抑制率IC50分别为2.88,0.93,3.60和0.22μmol/L,有可能进一步开发成为以酚氧化酶为靶点的新型生物农药.同时,为基于缩氨基硫脲母核的酚氧化酶抑制剂的设计提供了数据基础

The pricing formulas of default geometric average asian option with stochastic liabilities

在标的资产价格与该资产所属企业的企业价值和企业债务遵循对数正态过程的假设下,研究把几何平均亚式期权推广到债务随机且有信用风险的情况,并利用结构方法导出了债务随机时的有信用风险几何平均亚式期权的定价公式.On the hypothesis of underlying asset price,enterprise value and enterprise debt following logarithmic normal processes,we researched the method of how to expand geometric average asian option to the default one with stochastic liabilities.By applying the method of structural approach,we derived the pricing formulas of default geometric average asian option with stochastic liabilities.国家自然科学基金资助项目(10671103);; 莆田学院科研基金资助项目(2005016

An Extention of the Cox-Ingersoll-Ross Bond-pricing Model

债券一直被认为是一种风险较低,收益稳定的投资对象.债券融资是直接融资的一种重要方式.债券定价的高低直接影响到发行人的融资成本和投资人的获利空间.随着我国债券市场的发展,如何对其进行定价是当前金融市场研究的核心内容.COX-IngErSOll-rOSS债券定价模型假定即期利率服从扩散过程,利率长期均值为常数.基于此模型对其进行推广,假设利率的长期均值θ遵循一个离散跳跃过程,跳跃的次数与幅度由中央银行根据物价指数确定,建立一个新的模型,运用引理和资本资产定价模型给出到期日价值为1的零息票债券的定价公式.Bonds has always been considered as a less risky investment with stable income.Financing by bond is one of the most important direct financing methods.The overpricing or underpricing of Bonds affect the financing cost to issuers and the profit of the investors.In the development of Chinese bonds,it is the kernel that how to price them in the financial market.The bond-pricing model of Cox-Ingersoll-Ross assumes that the short rate following diffusion process and the long-run mean of it is fixed.we assume the long-run mean that follows a discontinous jump process is not fixed in this paper.The central bank determines the number and size of jumps per unit time through the general price level.Under this assumption,we build a new model,then use Ito Lemma and capital asset pricing to give the bond-pricing formula of discounted bond with a face value of 1 yuan.国家自然科学基金项目(10671103);福建省自然科学基金(2006J0225)资

The pricing formulas of a foreign stock asian exchange option with the risk of the exchange rate and the default

基于汇率风险暴露下,考虑标的资产价格与该资产所属企业的企业价值以及汇率均遵循对数正态过程的假设下,研究如何把一类外国股票期权推广到股票分红和债务随机时的情况,并利用结构方法推导出以国内股票价格为执行价的该股票亚式交换期权的信用风险定价公式.Based on the exchange rate risk exposure,on the hypothesis of underlying asset price,enterprise value and exchange rate following logarithmic normal processes,we researched the method of how to expand the foreign stock options to the stock dividend one with stochastic liabilities.By applying the method of structural approach,we derived the pricing formulas of the foreign stock asian exchange options by the strike price with inland stockprice.福建省中青年教师教育科研项目（JA15733）; 国家自然科学基金资助项目（11001142

疑似肠毒血症的病理报告

产气荚膜梭菌（Clostridium perfringens）是一群具有相似的生化特性和培养特性的病原菌,分A、B、C、D、E、F六个血清型,广泛分布于土壤表层、饲草、尘埃、水源及人畜的肠道内,是一种条件性致病菌。其不同血清型可使某种特定动物的幼畜发生肠毒血症而死亡。有关梅花鹿产气荚膜梭菌肠毒血症国内报道甚少。近年来,

绿洲农业高效用水技术集成与示范

简要技术说明： 该成果围绕棉花、葡萄、小麦3大作物,从干旱绿洲区作物高效用水和提高作物水分生产效率的目标出发,研究形成了棉花高效用水技术模式3套、葡萄高效用水技术模式1套、小麦优化灌溉节水及配套栽培技术模式1套、干旱绿洲区农业高效用水管理技术模式1套,开发了15项农业节水关键技术和1套“农业灌溉决策支持系统”,筛选出节水配套抗旱小麦品种2个、抗旱棉花品种1个,制定了农业高效用水技术规程7项,研发了专利产品1项、软件著作权登记1项,人才培养12名、发表论文45篇。通过对高效灌溉技术、农艺高效用水技术、高效用水管理技术等3方面的关键技术的集成与创新,研究形成了干旱绿洲区特色作物(棉花、葡萄、..