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constant elasticity of variance model 添加释义

网络释义英英释义

  变异数固定弹性模型

...网 uel and MacBeth (1982)的研究中，提出以Cox and Ross (1976) 的变异数固定弹性模型(Constant Elasticity of Variance Model, CEV)来修正 BS 模型中对于波动率为常数的假设，虽然在实证研究中CEV 模型较BS 模型更符合样本的结构..

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Constant elasticity of variance model

  • abstract: In mathematical finance, the CEV or constant elasticity of variance model is a stochastic volatility model, which attempts to capture stochastic volatility and the leverage effect. The model is widely used by practitioners in the financial industry, especially for modelling equities and commodities.

以上来源于: WordNet

双语例句

  • Suppose that underlying asset follows Constant Elasticity of Variance model(CEV). We derive pricing formula of binary option.

    假设 标的股价服从不变方差弹性（CEV）模型下，推导出两值期权的定价公式。

    youdao

  • This paper provides a method for pricing options in the constant elasticity of variance(CEV) model environment using the Lie-algebraic technique when the model parameters are time-dependent.

    文章使用李-代数方法对波动率弹性为常数（CEV）的时间依赖型期权提供一种定价方法。

    youdao

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