本文關(guān)鍵詞： 自融資條件 布朗運(yùn)動 泊松過程　出處：《西南財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著金融數(shù)學(xué)的不斷發(fā)展,衍生產(chǎn)品定價已經(jīng)成為了金融數(shù)學(xué)所要研究的核心問題。近三十年來,已經(jīng)有很多成熟的定價理論。在本文中,作者通過復(fù)制的思想,用標(biāo)的資產(chǎn)與無風(fēng)險資產(chǎn)來復(fù)制目標(biāo)衍生品,并推導(dǎo)出自融資條件。通過自融資資產(chǎn)組合來確定衍生產(chǎn)品的價格。在本文中,作者對于標(biāo)的資產(chǎn)的價格過程分別作了布朗運(yùn)動,泊松過程,與跳過程這三種假定。通過分別研究這三種情況,得到了相應(yīng)結(jié)論。
[Abstract]:With the development of financial mathematics, derivative pricing has become the core problem of financial mathematics. In the past 30 years, there have been many mature pricing theories. The target derivatives are copied by the underlying assets and the riskless assets, and derived from the financing conditions. The price of the derivatives is determined by the combination of self-financing assets. In this paper, the price process of the underlying assets is respectively subjected to Brownian motion. Poisson process and jump process are three hypotheses. By studying these three cases, the corresponding conclusions are obtained.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.92;F224

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本文編號：1508301