Multi-dimensional Black-Scholes model on future option;
期货期权的多维Black-Scholes模型
The pricing of the electricity future, future option, single point option and some typical swing options is studied using the Black-76 formula and the affine jump-diffusion model and a new ris.
文中采用Black-76公式和仿射跳跃-扩散电价模型研究了电力期货/远期、期货期权、单点期权以及摇摆期权等奇异期权的定价问题,提出了一种新的电力衍生产品风险中性概率框架,并根据德国EEX电力市场实际价格,利用解析及MonteCarlo方法给出了若干常见电力衍生产品的实际定价算例。
The empirical result shows that investors can realize risk management through a dynamic duplication of a future option.
在期货市场上,投资者可以通过动态复制期货期权的组合保险技术,在规避大的损失前提下,实现套期保值目标。
Multi-dimensional Black-Scholes model on future option;
期货期权的多维Black-Scholes模型
Estimates of Currency Futures Options under Stochastic Interest Rates;
随机利率条件下的货币期货期权的估值
An exchange where commodity futures and/or futures options are traded.
一个商品期货和/或者是期货期权买卖的交易场所。
FOX [Futures and Options Exchange]
期货和期权交易所［
DTB Deutsche Terminborse
德国期权及期货交易所
options on futures contract
期货合约的期权交易
The currency options market is fairly new.
货币期权市场还很年轻。
Besides Index futures and options, the HKFE also traded in four currency futures and 30 stock futures contracts.
除了指数期货和期权，期货交易所亦买卖四种货币期货及30种股票期货合约。
New Zealand Futures and Options Exchange
新西兰期货及期权交易所
Swiss Options and Financial Futures Exchange AG
瑞士期权及金融期货交易所有限公司
Derivatives come in two forms: options and futures.
衍生工具有两种：期权和期货。
Bond, Future, Option Pricing in Two-Factor HJM Model;
两因素HJM模型下债券、期货、期权的定价
At expiration, equal to the strike price minus the futures price.
在期权合同到期时，等于执行价格减去期货价格。
At expiration, equal to the futures price minus the strike price of the call.
在有效期内，等同于期货价格减去期权执行价。
Hedging Strategy Involving Future and Option Simultaneously;
期货与期权的组合在套期保值策略中的应用
For puts: futures price- premium+ expected basis.
对于卖出期权是指期货价格减去期权金再加上预期的基点。
For calls: futures price+ premium+ expected basis.
对于买入期权是指期货价格加上期权金再加上预期基点。
Common examples of derivatives include swaps, options, futures and FRAs.
衍生工具的常见例子包括互换（掉期）、选择权（期权）、期货和远期。