璀夊埜寰炴キ(y猫)銆婄櫦(f膩)琛岃垏鎵块姺銆嬭紨灏庯細绗節绔犻噸榛�(2)

銆€銆€璀夊埜寰炴キ(y猫)銆婄櫦(f膩)琛岃垏鎵块姺銆嬭紨灏庯細绗節绔犻噸榛�(1)

銆€銆€鍥�銆佸彲杞夋彌鍏徃鍌靛埜鐨勫畾鍍�

銆€銆€鍙綁鎻涘叕鍙稿偟鍒告槸涓€绋惈娆婂偟鍒�锛屽吋鏈夊叕鍙稿偟鍒稿拰鑲＄エ鐨勯洐閲嶇壒寰併€傝綁鑲′互鍓�锛屽畠鏄竴绋叕鍙稿偟鍒革紝鍏峰倷鍌靛埜鐨勭壒鎬�锛屽湪瑕�(gu墨)瀹氱殑鍒╃巼鍜屾湡闄愰珨鐝�(xi脿n)鐨勬槸鍌垫瑠銆佸偟鍕欓棞绯�锛屾寔鏈夎€呮槸鍌垫瑠浜�;杞夎偂浠ュ悗锛屽畠璁婃垚浜嗚偂绁�锛屽叿鍌欒偂绁ㄧ殑鐗瑰緛锛岄珨鐝�(xi脿n)鐨勬槸鎵€鏈夋瑠闂滅郴锛屾寔鏈夎€呯敱鍌垫瑠浜鸿綁璁婃垚浜嗚偂娆婃墍鏈夎€�銆傚湪鍍瑰€煎舰鎱�(t脿i)涓�锛屽彲杞夋彌鍏徃鍌靛埜璩︿簣鎶曡硣鑰呬竴鍊嬩繚搴曟敹鍏�锛屽嵆鍌靛埜鍒╂伅鏀粯鑸囧埌鏈熸湰閲戝劅閭勬鎴愮殑鏅€氶檮鎭埜鐨勫児鍊�;鍚屾檪锛屽畠閭勮肠浜堟姇璩囪€呭湪鑲＄エ涓婃疾鍒颁竴瀹氬児鏍兼浠朵笅杞夋彌鎴愮櫦(f膩)琛屼汉鏅€氳偂绁ㄧ殑娆婄泭锛屽嵆鐪嬫疾鏈熸瑠鐨勫児鍊�銆�

銆€銆€鍌欐敞瑁滃厖瑙ｉ噵锛氭湡娆婃槸鎸囧湪鏈締涓€瀹氭檪鏈熷彲浠ヨ卜璩ｇ殑娆婂埄锛屾槸鈥滆卜鏂光€濆悜鈥滆常鏂光€濇敮浠樹竴瀹氭暩(sh霉)閲忕殑閲戦(鎸囨瑠鍒╅噾)鍚庢搧鏈夌殑鍦ㄦ湭渚嗕竴娈垫檪闁撳収(n猫i)(鎸囩編寮忔湡娆�)鎴栨湭渚嗘煇涓€鐗瑰畾鏃ユ湡(鎸囨瓙寮忔湡娆�)浠ヤ簨鍏堣(gu墨)瀹氬ソ鐨勫児鏍�(鎸囧饱绱勫児鏍�)鍚戣常鏂硅臣璨锋垨鍑哄敭涓€瀹氭暩(sh霉)閲忕殑鐗瑰畾妯欑殑鐗╃殑娆婂埄锛屼絾涓嶈矤鏈夊繀闋堣卜閫叉垨璩ｅ嚭鐨勭京鍕�銆�

銆€銆€鐪嬫疾鏈熸瑠鍙堢ū璨烽€叉湡娆婏紝璨锋柟鏈熸瑠锛岃卜娆�锛屽欢璨锋湡娆婏紝鎴栤€滄暡閫测€�銆傜湅婕叉湡娆婃槸鎸囧湪鍗�(xi茅)璀拌(gu墨)瀹氱殑鏈夋晥鏈熷収(n猫i)锛屽崝(xi茅)璀版寔鏈変汉鎸夎(gu墨)瀹氱殑鍍规牸鍜屾暩(sh霉)閲忚臣閫茶偂绁ㄧ殑娆婂埄銆傛湡娆婅臣璨疯€呰臣閫查€欑ó璨烽€叉湡娆婏紝鏄洜鐐轰粬灏嶈偂绁ㄥ児鏍肩湅婕�锛屽皣渚嗗彲鐛插埄銆�

銆€銆€(涓€)鍙綁鎻涘叕鍙稿偟鍒哥殑杞夋彌鍍瑰€�

銆€銆€杞夋彌鍍瑰€兼槸鍙綁鎻涘叕鍙稿偟鍒稿闅涜綁鎻涙檪鎸夎綁鎻涙垚鏅€氳偂鐨勫競鍫村児鏍艰▓绠楃殑鐞嗚珫鍍瑰€�銆傝綁鎻涘児鍊肩瓑浜庢瘡鑲℃櫘閫氳偂鐨勫競鍍逛箻浠ヨ綁鎻涙瘮渚嬶紝鐢ㄥ叕寮忚〃绀猴細

銆€銆€CV=P脳R

銆€銆€寮忎腑锛欳V??杞夋彌鍍瑰€�;P??鑲＄エ鍍规牸;R??杞夋彌姣斾緥銆�

銆€銆€鐢变簬鍙綁鎻涘叕鍙稿偟鍒告湁涓€瀹氱殑杞夋彌鏈熼檺锛屽湪涓嶅悓鏅傞粸涓�锛岃偂绁ㄥ児鏍间笉鍚�锛岃綁鎻涘児鍊间篃涓嶇浉鍚屻€�

銆€銆€(浜�)鍙綁鎻涘叕鍙稿偟鍒哥殑鍍瑰€�

銆€銆€鍙綁鎻涘叕鍙稿偟鍒稿璩�(zh矛)涓婃槸涓€绋敱鏅€氬偟娆婂拰鑲＄エ鏈熸瑠鍏╁€嬪熀鏈伐鍏锋鎴愮殑寰╁悎铻嶈硣宸ュ叿锛屾姇璩囪€呰臣璨峰彲杞夋彌鍏徃鍌靛埜绛夊児浜庡悓鏅傝臣璨蜂簡涓€鍊嬫櫘閫氬偟鍒稿拰涓€鍊嬪皪鍏徃鑲＄エ鐨勭湅婕叉湡娆�銆傛鏄敱浜庡彲杞夋彌鍏徃鍌靛埜涓殑鑲＄エ鏈熸瑠锛岀郸鍌靛埜鐨勫畾鍍瑰付渚嗕簡寰堝ぇ鍥伴洠銆�

銆€銆€鍙綁鎻涘叕鍙稿偟鍒哥殑鍍瑰€煎彲浠ヨ繎浼煎湴鐪嬩綔鏄櫘閫氬偟鍒歌垏鑲＄エ鏈熸瑠鐨勭祫鍚堥珨锛�

銆€?銆佸簽鎹庤璧奃鎻涘叕鍙稿偟鍒哥殑鎸佹湁鑰呭彲浠ユ寜鐓у偟鍒镐笂绱勫畾鐨勮綁鑲″児鏍�锛屽湪杞夎偂鏈熷収(n猫i)琛屼娇杞夎偂娆婂埄锛岄€欏闅涗笂鐩哥暥浜庝互杞夎偂鍍规牸鐐烘湡娆婂煼(zh铆)琛屽児鏍肩殑缇庡紡璨锋瑠锛屼竴鏃﹀競鍫村児鏍奸珮浜庢湡娆婂煼(zh铆)琛屽児鏍硷紝鍌靛埜鎸佹湁鑰呭氨鍙互琛屼娇缇庡紡璨锋瑠寰炶€岀嵅鍒�銆�

銆€?銆佹湸鎹庤瘞l(f膩)琛屼汉鍦ㄥ彲杞夋彌鍏徃鍌靛埜鐨勮礀鍥炴娆句腑瑕�(gu墨)瀹氾紝濡傛灉鑲＄エ鍍规牸閫ｇ簩(x霉)鑻ュ共鍊嬩氦鏄撴棩鏀剁洡鍍归珮浜庢煇涓€璐栧洖鍟熷嫊鍍规牸(瑭茶礀鍥炲暉鍕曞児瑕侀珮浜庤綁鑲″児鏍�)锛岀櫦(f膩)琛屼汉鏈夋瑠鎸変竴瀹氶噾椤嶄簣浠ヨ礀鍥炪€傛墍浠�锛岃礀鍥炴娆剧浉鐣朵簬鍌靛埜鎸佹湁浜哄湪璩艰卜鍙綁鎻涘叕鍙稿偟鍒告檪灏辩劇姊濅欢鍑哄敭绲︾櫦(f膩)琛屼汉鐨�1寮电編寮忚卜娆�銆傜暥鐒�锛岀櫦(f膩)琛屼汉鏈熸瑠瀛樺湪鐨勫墠鎻愭槸鍌靛埜鎸佹湁浜虹殑鏈熸瑠閭勬湭鍩�(zh铆)琛岋紝濡傛灉鍌靛埜鎸佹湁浜哄鏂借綁鑲�锛岀櫦(f膩)琛屼汉鐨勮礀鍥炴瑠灏嶈┎鎶曡硣鑰呬篃姝镐簬鐒℃晥銆�

銆€?銆佹€崕璇宠祳D鎻涘叕鍙稿偟鍒镐腑鐨勫悓鍞娆捐(gu墨)瀹�锛屽鏋滆偂绁ㄥ児鏍奸€ｇ簩(x霉)鑻ュ共鍊嬩氦鏄撴棩鏀剁洡鍍逛綆浜庢煇涓€鍥炲敭鍟熷嫊鍍规牸(瑭茬恫(w菐ng)鍞暉鍕曞児瑕佷綆浜庤綁娈峰児鏍�)锛屽偟鍒告寔鏈変汉鏈夋瑠鎸変竴瀹氶噾椤嶅洖鍞郸鐧�(f膩)琛屼汉銆傛墍浠�锛屽洖鍞娆剧浉鐣朵簬鍌靛埜鎸佹湁浜哄悓鏅傛搧鏈夌櫦(f膩)琛屼汉鍑哄敭鐨�1寮电編寮忚常娆�銆�

銆€銆€缍滀笂鎵€杩帮紝鍙綁鎻涘叕鍙稿偟鍒哥浉鐣朵簬閫欐ǎ涓€绋姇璩囩祫鍚堬細鎶曡硣鑰呮寔鏈�1寮佃垏鍙綁鍌电浉鍚屽埄鐜囩殑鏅€氬偟鍒�锛�1寮垫暩(sh霉)閲忕偤杞夋彌姣斾緥銆佹湡娆婅浣垮児鐐哄垵濮嬭綁鑲″児鏍肩殑缇庡紡璨锋瑠锛�1寮电編寮忚常娆�锛屽悓鏅傚悜鐧�(f膩)琛屼汉鐒℃浠跺嚭鍞簡1寮电編寮忚卜娆�銆傛墍浠ワ紝鍙綁鎻涘叕鍙稿偟鍒哥殑鍍瑰€煎彲浠ョ敤浠ヤ笅鍏紡杩戜技琛ㄧず锛�

銆€銆€鍙綁鎻涘叕鍙稿偟鍒稿児鍊尖増绱旂补鍌靛埜鍍瑰€�+鎶曡硣浜虹編寮忚卜娆婂児鍊�+鎶曡硣浜虹編寮忚常娆婂児鍊尖€曠櫦(f膩)琛屼汉缇庡紡璨锋瑠鍍瑰€�

銆€銆€1.灏嶄簬鏅€氬偟鍒搁儴鍒�銆傜敱浜庡彲杞夋彌鍏徃鍌靛埜鐨勫偟鎭敹鍏ュ浐瀹�锛屽彲浠ラ噰鐢ㄧ従(xi脿n)閲戞祦璨肩従(xi脿n)娉曚締纰哄畾绱斿偟鍒哥殑鍍瑰€�锛屽嵆灏囨湭渚嗕竴绯诲垪鍌垫伅鍔犱笂闈㈠€兼寜涓€瀹氱殑甯傚牬鍒╃巼鎶樻垚鐨勭従(xi脿n)鍊�锛屽彲鐢卞叕寮忥細 瑷堢畻銆�

銆€銆€2.灏嶄簬鑲＄エ鏈熸瑠閮ㄥ垎锛岀洰鍓嶆湁鍏╃ó瀹氬児鏂规硶銆�(浜嗚В鍏舵蹇�)

銆€?銆佹尓鏃鍏嬩竴鏂鐖炬柉(Black Scholes)鏈熸瑠瀹氬児妯″瀷銆�1973骞�.缍�(j墨ng)婵熷瀹禙isher Black鑸嘙yron Scholes鐧�(f膩)琛ㄤ簡銆婃湡娆婂畾鍍瑰拰鍏徃鍌靛嫏銆嬬殑钁楀悕璜栨枃锛屽湪鏂囦腑鎻愬嚭浜嗗嫊鎱�(t脿i)灏嶆矕鐨勬蹇�锛屽缓绔嬩簡姝愬紡鏈熸瑠瀹氬児鐨勮В鏋愯〃閬斿紡锛屽嵆Black鈥昐choles鏈熸瑠瀹氬児妯″瀷銆�

銆€?銆佽传睢滄乏璺堝柦鈻媟妯″瀷銆�1979骞�锛岀稉(j墨ng)婵熷瀹禖ox锛孯oss鍜孯obinstein鐧�(f膩)琛ㄤ簡銆婃湡娆婂畾鍍癸細涓€绋啊鍖栫殑鏂规硶銆嬬殑璜栨枃锛屾彁鍑轰簡浜屽弶妯规ā鍨�(Bino-mial Model)銆傝┎妯″瀷寤虹珛浜嗘湡娆婂畾鍍规暩(sh霉)鍊肩畻娉曠殑鍩虹锛岃В姹轰簡缇庡紡鏈熸瑠鐨勫畾鍍瑰晱椤�銆傛ā鍨嬩互鐧�(f膩)琛屾棩鐐哄熀榛烇紝妯℃摤杞夎偂璧峰鏃ュ熀绀庤偂绁ㄧ殑鍙兘鍍规牸浠ュ強鍑虹従(xi脿n)閫欎簺鍍规牸鐨勬鐜�锛岀劧鍚庣⒑瀹氬湪鍚勭ó鍙兘鍍规牸涓嬬殑鏈熸瑠鍍瑰€�锛屾渶鍚庤▓绠楁湡娆婄殑鏈熸湜鍊煎苟閫茶璨肩従(xi脿n)姹傚緱鏈熸瑠鍍瑰€�銆傛牴鎿�(j霉)鎴戝湅鍙綁鎻涘叕鍙稿偟鍒哥櫦(f膩)琛岀殑鐗归粸锛岄噰鐢ㄤ簩鍙夋ü妯″瀷閫茶瀹氬児鏂规硶杓冪偤鍙銆�

銆€銆€(涓�)褰遍熆鍙綁鎻涘叕鍙稿偟鍒稿児鍊肩殑鍥犵礌(5鍊�)

銆€銆€褰遍熆鍙綁鎻涘叕鍙稿偟鍒稿児鍊肩殑鍥犵礌涓昏鏈変互涓嬪咕榛烇細

銆€銆€1.绁ㄩ潰鍒╃巼銆傜エ闈㈠埄鐜囪秺楂�锛屽彲杞夋彌鍏徃鍌靛埜鐨勫偟娆婂児鍊艰秺楂�;鍙嶄箣锛岀エ闈㈠埄鐜囪秺浣庯紝鍙綁鎻涘叕鍙稿偟鍒哥殑鍌垫瑠鍍瑰€艰秺浣�銆�(浜岃€呮垚姝ｆ瘮)

銆€銆€2.杞夎偂鍍规牸銆傝綁鑲″児鏍艰秺楂�锛屾湡娆婂児鍊艰秺浣�锛屽彲杞夋彌鍏徃鍌靛埜鐨勫児鍊艰秺浣�;鍙嶄箣锛岃綁鑲″児鏍艰秺浣�锛屾湡娆婂児鍊艰秺楂橈紝鍙綁鎻涘叕鍙稿偟鍒哥殑鍍瑰€艰秺楂�銆�(鎴愬弽姣�)

銆€銆€3.鑲＄エ娉㈠嫊鐜�銆傝偂绁ㄦ尝鍕曠巼鏄奖闊挎湡娆婂児鍊肩殑涓€鍊嬮噸瑕佸洜绱�锛岃偂绁ㄦ尝鍕曠巼瓒婂ぇ锛屾湡娆婄殑鍍瑰€艰秺楂�锛屽彲杞夋彌鍏徃鍌靛埜鐨勫児鍊艰秺楂�;鍙嶄箣锛岃偂绁ㄦ尝鍕曠巼瓒婁綆锛屾湡娆婄殑鍍瑰€艰秺浣�锛屽彲杞夋彌鍏徃鍌靛埜鐨勫児鍊艰秺浣庛€�(浜岃€呮垚姝ｆ瘮)

銆€銆€4.杞夎偂鏈熼檺銆傜敱浜庡彲杞夋彌鍏徃鍌靛埜鐨勬湡娆婃槸涓€绋編寮忔湡娆�锛屽洜姝�锛岃綁鑲℃湡闄愯秺闀凤紝杞夎偂娆婂児鍊煎氨瓒婂ぇ锛屽彲杞夋彌鍏徃鍌靛埜鐨勫児鍊艰秺楂�;鍙嶄箣锛岃綁鑲℃湡闄愯秺鐭�锛岃綁鑲℃瑠鍍瑰€煎氨瓒婂皬锛屽彲杞夋彌鍏徃鍌靛埜鐨勫児鍊艰秺浣庛€�(浜岃€呮垚姝ｆ瘮)

銆€銆€5.鍥炲敭姊濇銆傞€氬父鎯呮硜涓嬶紝鍥炲敭鏈熼檺瓒婇暦銆佽綁鎻涙瘮鐜囪秺楂�銆佸洖鍞児鏍艰秺楂橈紝鍥炲敭鐨勬湡娆婂児鍊煎氨瓒婂ぇ;鐩稿弽锛屽洖鍞湡闄愯秺鐭€佽綁鎻涙瘮鐜囪秺浣�銆佸洖鍞児鏍艰秺浣�锛屽洖鍞殑鏈熸瑠鍍瑰€煎氨瓒婂皬銆�(浜岃€呮垚姝ｆ瘮)

銆€銆€6.璐栧洖姊濇銆傞€氬父鎯呮硜涓�锛岃礀鍥炴湡闄愯秺闀�銆佽綁鎻涙瘮鐜囪秺浣�銆佽礀鍥炲児鏍艰秺浣�锛岃礀鍥炵殑鏈熸瑠鍍瑰€煎氨瓒婂ぇ锛岃秺鏈夊埄浜庣櫦(f膩)琛屼汉;鐩稿弽锛岃礀鍥炴湡闄愯秺鐭�銆佽綁鎻涙瘮鐜囪秺楂�銆佽礀鍥炲児鏍艰秺楂橈紝璐栧洖鐨勬湡娆婂児鍊煎氨瓒婂皬锛岃秺鏈夊埄浜庤綁鍌垫寔鏈変汉銆傚湪鑲″児璧板嫝鍚戝ソ鏅�锛岃礀鍥炴娆惧闅涗笂璧峰埌寮峰埗杞夎偂鐨勪綔鐢ㄣ€備篃灏辨槸瑾�锛岀暥鍏徃鑲＄エ澧為暦鍒颁竴瀹氬箙搴�锛岃綁鍌垫寔鏈変汉鑻ヤ笉閫茶杞夎偂锛岄偅涔�锛屼粬寰炶綁鍌佃礀鍥炲緱鍒扮殑鏀剁泭灏囬仩浣庝簬寰炶綁鑲′腑鐛插緱鐨勬敹鐩娿€�(浜岃€呮垚姝ｆ瘮)

銆€銆€绺界祼锛氶櫎鈥滆綁鑲″児鏍尖€濊垏鍌靛埜鍍瑰€兼垚鍙嶆瘮澶�锛屽叾浣欏潎鐐烘姣斻€�

銆€銆€渚嬮3锛氬彲杞夋彌鍏徃鍌靛埜鏄竴绋惈娆婂偟鍒�锛屽畠鍏兼湁鍏徃鍌靛埜鍜岃偂绁ㄧ殑闆欓噸鐗瑰緛銆�( )

銆€銆€绛旀锛氭纰�銆�

銆€銆€渚嬮4锛氳偂绁ㄦ尝鍕曠巼瓒婂ぇ锛屾寔鏈夎偂绁ㄩⅷ闅篃灏辫秺澶�锛屽彲杞夋彌鍏徃鍌靛埜鐨勫児鍊艰秺浣�;鍙嶄箣锛岃偂绁ㄦ尝鍕曠巼瓒婁綆锛屾寔鏈夎偂绁ㄩⅷ闅篃灏辫秺浣�锛屽彲杞夋彌鍏徃鍌靛埜鐨勫児鍊艰秺楂�銆�

銆€銆€绛旀锛氭纰�銆�

銆€銆€鐠�(hu谩n)鐞冪恫(w菐ng)鏍�2012璀夊埜寰炴キ(y猫)澶氭濂楅涓婄窔 锛�鏁欐潗璁婂寲 锛夛紙闋愮繏椤屾惗鍏堝仛锛�

銆€銆€璀夊埜寰炴キ(y猫)杓斿皫濂楅鏈€浣庡洓鎶樺劒(y艒u)鎯�

銆€銆€鐠�(hu谩n)鐞冪恫(w菐ng)鏍¤瓑鍒稿緸妤�(y猫)璩囨牸閫氶亷鐜囬珮閬�76%

銆€銆€2012鏂扮増璀夊埜寰炴キ(y猫)杓斿皫瑾茬▼鐔辨嫑涓�

銆€銆€鏇村淇℃伅锛�  璀夊埜寰炴キ(y猫)璩囨牸鑰冭│闋婚亾      璀夊埜寰炴キ(y猫)璩囨牸鑰冭│璜栧