本文關鍵詞：離散分紅下個股期權定價的案例分析　出處：《蘇州大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 離散分紅 個股期權定價 跳擴散模型 蒙特卡洛方法

【摘要】：作為金融衍生品市場的重要組成部分，個股期權越來越受到人們的關注和期待。中國政府和市場對個股期權的推出醞釀已久，然而，任何產(chǎn)品在推出之時都要首先解決其定價問題。實際中，上市公司的分紅方式為離散分紅，即在某一時點以現(xiàn)金或股票的方式向股東分配紅利，這種分紅方式會使股價在除息日出現(xiàn)一定程度的“跳躍”，進而影響期權價值。為此，本文專門在離散分紅下運用多種模型對歐式個股期權定價的案例進行具體計算研究，并對模型結(jié)果進行了分析，以期為從業(yè)者提供較為全面的參考。 本文安排如下：第一部分為緒論，，對研究背景、研究意義和研究思路進行說明，也對案例進行介紹。第二部分為離散分紅模型，對各個離散分紅模型的思路和結(jié)論進行了簡要介紹，所涉及的模型有：提存紅利模型、含函數(shù)的離散分紅模型、支付紅利下B-S方程的推廣模型、跳擴散模型。第三部分為模型實施，根據(jù)各個模型的結(jié)論和蒙特卡洛模擬方法，在Matlab下進行計算得出結(jié)果并分析。第四部分為總結(jié)，對全文進行總結(jié)并提出后續(xù)研究建議。
[Abstract]:As an important part of the financial derivatives market, individual stock option has been paid more and more attention and expectation. The introduction of individual stock option in Chinese government and market has been brewing for a long time, however. In practice, the dividend of listed companies is discrete dividends, that is, dividends are distributed to shareholders in cash or stock at a certain point. This kind of dividend will make the stock price "jump" to a certain extent on the interest-free day, and then affect the value of the option. In this paper, we use a variety of models under discrete dividend to calculate and study the case of European individual stock option pricing, and analyze the results of the model, in order to provide a more comprehensive reference for practitioners. This article is arranged as follows: the first part is the introduction, to the research background, the research significance and the research thought carries on the explanation, also carries on the introduction to the case. The second part is the discrete dividend model. The ideas and conclusions of each discrete dividend model are briefly introduced. The models involved are: deposit dividend model, discrete dividend model with function, and the generalized model of B-S equation under dividend payment. The third part is the implementation of the model. According to the conclusions of each model and Monte Carlo simulation method, the results are calculated and analyzed under Matlab. Part 4th is the summary. Summarize the full text and put forward suggestions for follow-up research.
【學位授予單位】：蘇州大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.91;F224

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相關期刊論文 前1條

1 曾薇;;我國股票期權市場計算實驗金融仿真研究[J];華東經(jīng)濟管理;2013年02期

本文編號：1417657