本文選題：二項(xiàng)式模型 + 計(jì)算機(jī)實(shí)現(xiàn)�。� 參考：《哈爾濱工業(yè)大學(xué)》2012年碩士論文

【摘要】：回望期權(quán)是奇異期權(quán)的一種，屬于較新的金融衍生產(chǎn)品，是一種路徑依賴性期權(quán)。諸多學(xué)者對(duì)回望期權(quán)的定價(jià)方法的探討一直沒(méi)有停止過(guò)。在金融市場(chǎng)迅速發(fā)展壯大、金融產(chǎn)品以及產(chǎn)品組合不斷完善創(chuàng)新的趨勢(shì)下，對(duì)回望期權(quán)定價(jià)方法的研究無(wú)論在理論還是實(shí)踐上都具有重要的意義。 本文受到了Terry和Ton于1997年提出的回望期權(quán)二項(xiàng)式定價(jià)模型的啟發(fā)，不僅深入探討和補(bǔ)充完善了這個(gè)模型，而且對(duì)于模型的結(jié)果以及構(gòu)建思想在深層次從信息完整度的角度給出了解釋。本文首先回顧了期權(quán)以及回望期權(quán)的基本特征以及傳統(tǒng)的解析定價(jià)方法，然后采用分析比較回望期權(quán)二項(xiàng)式定價(jià)模型與傳統(tǒng)期權(quán)二項(xiàng)式定價(jià)模型的不同之處并設(shè)法修改移植的方法，借助數(shù)學(xué)推導(dǎo)和經(jīng)濟(jì)定義給出了可行的回望期權(quán)二項(xiàng)式定價(jià)模型。接著深入分析了解析法和離散法的異同，指出離散法符合現(xiàn)實(shí)、計(jì)算復(fù)雜度降低的優(yōu)勢(shì)和合理性，并將得到的模型進(jìn)行了計(jì)算機(jī)編程實(shí)現(xiàn)。 完成之后，本文定義非觀察點(diǎn)、更新新的差集定義域上的函數(shù)、參數(shù)和關(guān)系，完成了歐式固定協(xié)議價(jià)格回望期權(quán)的二項(xiàng)式定價(jià)模型并予以實(shí)現(xiàn)，并在此基礎(chǔ)上，通過(guò)定義節(jié)點(diǎn)鏈接和判斷循環(huán)最終完成了對(duì)美式回望期權(quán)的二項(xiàng)式定價(jià)模型并予以實(shí)現(xiàn)。至此，在先后實(shí)現(xiàn)了對(duì)歐式固定協(xié)議價(jià)格回望期權(quán)、歐式浮動(dòng)協(xié)議價(jià)格回望期權(quán)和美式回望期權(quán)的二項(xiàng)式定價(jià)后，二項(xiàng)式方法已經(jīng)可以處理全部類型的回望期權(quán)的定價(jià)。 最后，本文對(duì)得到的三個(gè)模型進(jìn)行了總結(jié)和反思，，提出了模型的可取之處和不足之處，并從信息庫(kù)和行為金融學(xué)等新的方向上提出了一些修正的方向。
[Abstract]:The call option is a kind of exotic option, which belongs to the new financial derivatives and is a path dependent option. Many scholars have not stopped the discussion of the pricing methods of the return options. In the financial market, the pricing method of the return options is the trend of the financial products and the product combination. The research is of great significance both in theory and in practice.
This paper, inspired by the binomial pricing model of the return options proposed by Terry and Ton in 1997, not only explores and supplements this model in depth, but also explains the results of the model and the idea of building it from the angle of information integrity. This paper first reviews the basic characteristics of options and return options. And the traditional analytic pricing method is used to analyze and compare the difference between the binomial pricing model and the traditional option binomial pricing model, and try to modify the method of transplantation. By means of mathematical deduction and economic definition, a feasible return option binomial pricing model is given. Then the analytic method and the discretization are deeply analyzed. The similarities and differences of the methods show that the discretization method is realistic and the computational complexity is reduced. The model is implemented by computer programming.
After completion, this paper defines the non observation point, updates the functions, parameters and relationships of the new difference set definition domain, completes the binomial pricing model of the European fixed price look back option and implements it. On this basis, the binomial pricing model of American return option is finally completed by defining the node link and the judgment cycle. At this point, the binomial method has already been able to deal with the pricing of all types of return options after the pricing of European fixed agreement price looking options, the pricing of European floating agreement and the binomial option of American look back options.
Finally, this paper makes a summary and Reflection on the three models, and puts forward the advantages and disadvantages of the model, and puts forward some revisions in the new direction of information base and behavioral finance.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.9;F224

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相關(guān)期刊論文 前2條

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2 徐承龍,鄔凱樂(lè);帶一般收益函數(shù)的歐式回望期權(quán)定價(jià)的Fourier方法[J];同濟(jì)大學(xué)學(xué)報(bào)(自然科學(xué)版);2005年07期

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