本文選題：看漲期權 + 復合期權　； 參考：《河北師范大學》2013年碩士論文

【摘要】：期權是一種復雜的金融衍生產品,在套利保值與風險投資中得到廣泛應用.近幾十年來,很多學者對期權定價作了大量研究.隨著場外衍生產品市場的發(fā)展,交易對手發(fā)生違約的可能性即信用風險受到人們越來越多的關注.因此,研究具有違約風險的期權的定價問題具有實際意義.本文主要討論了具有違約性質的看漲期權與看漲-看漲期權的定價問題. 目前國際上比較流行的描述違約風險的模型主要有兩類：結構化模型與簡化模型.本文假設違約風險是由結構化模型來描述的.具體而言,假定期權的承約方A公司的資產價格Vt服從幾何布朗運動在期權期限內,若Vt低于一個事先設定好的常數(shù)L(稱為違約水平)時,A公司將會違約. 首先,我們假定期權的標的資產為股票,其價格過程St服從幾何布朗運動其中ρ為Vt與St的瞬時相關系數(shù),0≤ρ≤1.利用測度變換和鞅方法分別給出當ρ=0,0ρ1,ρ=1時的含違約風險的看漲期權的解析公式. 然后,我們進一步假定期權的標的資產為B公司的股票St,而St可以看成B公司資產Vt2上的看漲期權.這時的期權實際上為看漲上的看漲期權即復合期權.我們假設Vt2服從幾何布朗運動利用測度變換和鞅方法分別得到了當ρ=0,0ρ1,ρ=1時的含違約風險的看漲-看漲期權的解析公式.
[Abstract]:Option is a complex financial derivative, which is widely used in arbitrage and venture capital. In recent decades, many scholars have done a lot of research on option pricing. With the development of OTC derivatives market, people pay more and more attention to the possibility of counterparty default, namely credit risk. Therefore, it is of practical significance to study the pricing of options with default risk. This paper mainly discusses the pricing of call options and call-call options with default. There are two kinds of models to describe default risk: structured model and simplified model. This paper assumes that default risk is described by a structured model. In particular, assuming that the asset price of option contractor A Company A follows the geometric Brownian motion during the term of the option, if Vt is below a predetermined constant L (called default level), company A will default. First of all, we assume that the underlying asset of the option is a stock, and its price process is from geometric Brownian motion where 蟻 is the instantaneous correlation coefficient of V t and St 0 鈮，

本文編號：2049900