| 金融领域的随机建模与基于软件R的MonteCarlo模拟(3):随机对数线性模型 |
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| 引用本文： | 毛学荣,李晓月. 金融领域的随机建模与基于软件R的MonteCarlo模拟(3):随机对数线性模型[J]. 南京气象学院学报, 2015, 7(3): 214-220 |
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| 作者姓名： | 毛学荣 李晓月 |
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| 作者单位： | 斯特莱斯克莱德大学 数学系, 格拉斯哥, G1 1XT, 英国;东北师范大学 数学与统计学院, 长春, 130024 |
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| 基金项目： | 国家自然科学基金(11171056,1117 1081) |
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| 摘 要： | 主要研究了随机对数线性(SLL)模型以及如何基于SLL模型计算欧式期权平均收益.此外,还演绎了资产价格的Monte Carlo模拟.
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| 关 键 词： | SLL模型 Monte Carlo模拟 欧式期权 平均收益 |
| 收稿时间： | 2014-09-13 |
Stochastic modelling in finance and Monte Carlo simulations with R Part C:Stochastic Log-linear model |
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| MAO Xuerong and LI Xiaoyue. Stochastic modelling in finance and Monte Carlo simulations with R Part C:Stochastic Log-linear model[J]. Journal of Nanjing Institute of Meteorology, 2015, 7(3): 214-220 |
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| Authors: | MAO Xuerong and LI Xiaoyue |
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| Affiliation: | Department of Mathematics and Statistics, University of Strathclyde, Glasgow, G1 1XT, Scotland, UK;School of Mathematics and Statistics, Northeast Normal University, Changchun 130024 |
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| Abstract: | The key aim of this serial articles is to study various stochastic models in finance with emphasise on the Monte Carlo simulations with R for these models.This paper investigates the stochastic Log-linear (SLL) model and obtains the mean payoff of European options.Moreover,this paper discusses how to perform Monte Carlo simulations on the asset price. |
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| Keywords: | the SLL model Monte Carlo simulations European options the mean payoff |
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