金融领域的随机建模与基于软件R的Monte Carlo模拟（3）：随机对数线性模型
금융영역적수궤건모여기우연건R적Monte Carlo모의（3）：수궤대수선성모형
Stochastic modelling in finance and Monte Carlo simulations with R Part C:Stochastic Log-linear model
  • 万方数据
    南京信息工程大学学报 남경신식공정대학학보
    JOURNAL OF NANJING UNIVERSITY OF INFORMATION SCIENCE & TECHNOLOGY
    2015年 3期 214-220 ,共7页

    毛学荣%李晓月

    모학영%리효월

    SLL模型%Monte Carlo模拟%欧式期权%平均收益 SLL模型%Monte Carlo模擬%歐式期權%平均收益
    SLL모형%Monte Carlo모의%구식기권%평균수익
    the SLL model%Monte Carlo simulations%European options%the mean payoff
    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。
    주요연구료수궤대수선성（ SLL）모형이급여하기우SLL모형계산구식기권평균수익。차외，환연역료자산개격적Monte Carlo모의。
    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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