本文關(guān)鍵詞：永久百慕大期權(quán)定價(jià)的積分方程方法　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 永久百慕大期權(quán) 最優(yōu)執(zhí)行策略 高精度配置方法

【摘要】：最近幾年,非標(biāo)準(zhǔn)的美式期權(quán)的定價(jià)被越來(lái)越多的學(xué)者進(jìn)行研究。永久百慕大期權(quán)是一種沒(méi)有到期日,只能在合約規(guī)定的一系列時(shí)點(diǎn)上選擇是否行權(quán)的非標(biāo)準(zhǔn)美式期權(quán)。對(duì)于永久百慕大期權(quán)定價(jià)的研究現(xiàn)在還不是很多,并且現(xiàn)有的一些研究成果的算法精度都不高。由于永久百慕大期權(quán)具有一條最優(yōu)執(zhí)行邊界,其求解極其復(fù)雜,在實(shí)際應(yīng)用中人們常常用永久美式期權(quán)的最優(yōu)執(zhí)行邊界替換永久百慕大期權(quán)的最優(yōu)執(zhí)行邊界,但卻從來(lái)沒(méi)有人研究過(guò)該種替換是否有效。 本文將采用高精度配置方法對(duì)永久百慕大期權(quán)的最優(yōu)執(zhí)行邊界以及定價(jià)進(jìn)行求解。通過(guò)高精度配置方法的運(yùn)用,得到精度更高更可靠的永久百慕大期權(quán)的定價(jià)以及最優(yōu)執(zhí)行策略。并且通過(guò)與永久美式期權(quán)定價(jià)及最優(yōu)執(zhí)行邊界進(jìn)行算例比較,驗(yàn)證采取永久美式期權(quán)的最優(yōu)執(zhí)行邊界替換永久百慕大期權(quán)的最優(yōu)執(zhí)行邊界的有效性。 本文首先介紹永久百慕大期權(quán)的概念及定價(jià)研究綜述,以及永久美式期權(quán)及高精度配置方法。其次通過(guò)高精度配置方法對(duì)永久百慕大期權(quán)的最優(yōu)執(zhí)行邊界以及定價(jià)積分表達(dá)式進(jìn)行求解。接著通過(guò)MATLAB進(jìn)行數(shù)值實(shí)現(xiàn),研究永久美式期權(quán)與永久百慕大期權(quán)最優(yōu)執(zhí)行邊界間的關(guān)系。最后,得出結(jié)論以及對(duì)后續(xù)工作的展望。
[Abstract]:The pricing of non - standard American options has been studied by more and more scholars in recent years . The perpetual Bermuda option is a non - standard American option that has no expiry date and can only be selected on a series of time points specified in the contract . The research on the pricing of permanent Bermuda options is not much , and some of the existing research results are highly accurate . Since the perpetual Bermuda option has an optimal execution boundary , the optimal execution boundary of the perpetual American option is often replaced by the optimal execution boundary of the perpetual American option , but no one has ever studied whether the substitution is valid . This paper will solve the optimal execution boundary and pricing of the permanent Bermuda options by using the high - precision configuration method . By the application of the high - precision configuration method , the pricing and the optimal execution strategy of the permanent Bermuda options with higher accuracy are obtained . And the validity of the optimal execution boundary of the permanent American option is verified by comparing with the fixed American option pricing and the optimal execution boundary . This paper first introduces the concept and pricing research review of the permanent Bermuda options , as well as the permanent American option and the high - precision configuration method . Secondly , the optimal execution boundary and the pricing integral expression of the permanent Bermuda options are solved by the high - precision configuration method . Then , the relationship between the perpetual American option and the optimal execution boundary of the perpetual Bermuda option is studied by MATLAB . Finally , the conclusion is drawn and the prospect of the follow - up work is discussed .

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F830.9

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 林建偉;;永久百慕大期權(quán)的定價(jià)公式[J];同濟(jì)大學(xué)學(xué)報(bào)(自然科學(xué)版);2008年10期

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本文編號(hào)：1408859