Description: 这只是分形学中布朗运动程序实现的一种简单算法，不过大家有好的可以交流交流。-Fractal Science Brownian motion procedures to achieve a simple algorithm, but we can have a good exchange of communication. Platform: |
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Author:tuilip |
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Description: 经验模式分解算法是仿真分数阶高斯噪声(fGn)和分数阶布朗运动(fBm)的新方法，
利用MATLAB的GUI开发环境，设计和实现了基于经验模式分解的分数阶随机序列仿真系统。-Empirical mode decomposition algorithm is a simulation of fractional Gaussian noise (fGn) and fractional Brownian motion (fBm) of the new method, using MATLAB' s GUI development environment, design and implementation of empirical mode decomposition based on the fractional order random sequence simulation system. Platform: |
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Author:齐磊 |
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Description: 本文考虑了期权定价方面的三个问题：期权的保险精算定价方法；分数布朗运动与Poisson跳的股票价格模型的保险精算定价；基于模糊信息处理的期权定价。 首先，利用保险精算方法给出了汇率连动期权的定价公式，获得了欧式看涨期权和看跌期定价公式及平价公式。 其次，利用公平保费原则和价格过程的实际概率测度推广了Mogens bladt 和Hina Hviid Rydberg 关于欧式期权定价的结果。假定股票价格过程遵循分数布朗运动和带非时齐Poisson 跳跃的扩散过程,并且股票预期收益率、无风险利率均为时间函数的情况下,获得了欧式期权精确定价公式和买权与卖权之间的平价关系。 最后，将模糊理论应用于支付红利B-S公式，得到了模糊形式下支付红利B-S公式和看涨看跌平价公式。在考虑模糊利率、模糊波动率、模糊股票价格和模糊值红利函数的情况下，欧式期权价格成为一个模糊数。由此得到置信度的一个计算程序。-This paper considers three aspects of option pricing problems: Actuarial pricing fractional Brownian motion and Poisson jump model of stock price actuarial pricing based on fuzzy information processing option pricing. First, the use of actuarial methods is given quanto option pricing formula to obtain the European call and put pricing formula and the parity of the formula. Secondly, the use of the principle of fair premium price process and the actual probability measure to promote the Mogens bladt and Hina Hviid Rydberg on European option pricing results. Assuming that the stock price process follows the fractional Brownian motion and with non-homogeneous Poisson jump diffusion process, and the rate of expected return on equity, risk-free interest rates are functions of time and enjoy a European option pricing formula and the exact right to buy and sell rights parity between. Finally, the fuzzy theory is applied to pay dividends BS formula, has been vague formula of the form of divi Platform: |
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Author:张林杰 |
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Description: 详细的介绍了分数布朗运动的相关理论及技术，适合初学者学习-Detailed description of the fractional Brownian motion theory and technology, suitable for beginners to learn Platform: |
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Author:alang |
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Description: Simulates a Multifractal Model of Asset Return using a multiplicative lognormal cascade-Simulates a Multifractal Model of Asset Return using a multiplicative
lognormal cascade
See the following papaer
A Multifractal Model of Asset Returns by B Mandelbrot- 1997
The current implementation uses the generator for the fractional brownian motion from B. Scott Jackson. Many thanks!
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Author:DT丿灬雪狼 |
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Description: Contents
Introduction
Original Black-Scholes Formula
Fractional Brownian Motion
Applications of Wick-Itˆ o Stochastic Calculus in Finance
Other Developments & Future Works
References Platform: |
Size: 326656 |
Author:baibai |
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Description: 海杂波背景下的分形特征，目标检测，赫斯特指数(HEST = wfbmesti(X) returns a row vector HEST which contains three estimates of the fractal index H of the signal X supposed to come from a fractional Brownian motion of parameter H.) Platform: |
Size: 10240 |
Author:佳妮
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Search - fractional brownian motion