發(fā)布時(shí)間：2018-04-05 09:32

  本文選題：波動(dòng)率期權(quán)　切入點(diǎn)：隨機(jī)波動(dòng)率模型　出處：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：在目前金融市場(chǎng)中,由金融原生資產(chǎn)回報(bào)的波動(dòng)率變化而帶來(lái)的風(fēng)險(xiǎn)并不能通過(guò)資產(chǎn)組合的方式將其有效地分散開(kāi)來(lái),即這些原生金融資產(chǎn)的狀態(tài)和以其為標(biāo)的物的金融衍生品并不能夠有效地規(guī)避或?qū)_嵌套(暗含)在波動(dòng)率中的所有不確定性。因此為了有效地規(guī)避這種風(fēng)險(xiǎn),投資者就需要增加新的有效對(duì)沖資產(chǎn)組合,在此情況下建立在風(fēng)險(xiǎn)源本身即波動(dòng)率基礎(chǔ)上的波動(dòng)率期權(quán)就顯示出了其強(qiáng)大的優(yōu)勢(shì),其在套期保值和風(fēng)險(xiǎn)管理方面有重大作用。同時(shí),在最近十幾年,含有隨機(jī)波動(dòng)率的期權(quán)研究已經(jīng)成為了期權(quán)研究領(lǐng)域的熱點(diǎn)。當(dāng)波動(dòng)率由常數(shù)變?yōu)殡S機(jī)時(shí),問(wèn)題的分析難度和解決的復(fù)雜程度相比于之前都有一個(gè)很大的跳躍。因此,對(duì)于隨機(jī)波動(dòng)率期權(quán)的深入研究對(duì)于完善整個(gè)期權(quán)定價(jià)理論是具有深遠(yuǎn)意義的。 本文主要研究了帶有隨機(jī)波動(dòng)率的四組波動(dòng)率期權(quán)模型的定價(jià)問(wèn)題。在研究此問(wèn)題上,主要是運(yùn)用隨機(jī)叉樹(shù)(格子算法)來(lái)逼近上述的離散模型,設(shè)計(jì)出有效的算法將整個(gè)時(shí)間段內(nèi)的原生資產(chǎn)的運(yùn)動(dòng)路徑即狀態(tài)價(jià)格計(jì)算出來(lái),并推導(dǎo)出各個(gè)狀態(tài)的概率分布,從而完成對(duì)上述四組波動(dòng)率期權(quán)模型的定價(jià)研究。相比于以前對(duì)該類期權(quán)定價(jià)研究,本文另辟蹊徑,將隨機(jī)叉樹(shù)方法成功擴(kuò)展運(yùn)用到該期權(quán)的定價(jià)問(wèn)題上來(lái)。通過(guò)本文的相關(guān)研究,發(fā)現(xiàn)無(wú)論是在對(duì)美式看漲波動(dòng)率期權(quán)還是在對(duì)美式看跌波動(dòng)率期權(quán)的定價(jià)問(wèn)題上,隨機(jī)叉樹(shù)算法的收斂性、穩(wěn)定性、有效性都非常好。
[Abstract]:In today's financial markets, the risks associated with changes in the volatility of returns on primary financial assets cannot be effectively dispersed by a portfolio.That is, the state of these primary financial assets and financial derivatives with them as the subject matter can not effectively circumvent or hedge all the uncertainties of nested (implied) volatility.Therefore, in order to avoid the risk effectively, investors need to add a new portfolio of effective hedging assets. In this case, the volatility option based on the risk source itself, that is, volatility, shows its strong advantages.It plays an important role in hedging and risk management.At the same time, in the last ten years, the research of options with random volatility has become a hot spot in the field of options research.When the volatility is changed from constant to random, there is a big jump in the difficulty of analysis and the complexity of solving the problem.Therefore, the in-depth study of stochastic volatility option is of great significance to the improvement of the whole option pricing theory.In this paper, we study the pricing of four groups of volatility options with random volatility.In the study of this problem, the random cross tree (lattice algorithm) is mainly used to approximate the above discrete model, and an effective algorithm is designed to calculate the movement path of the original assets in the whole time period, that is, the state price.The probabilistic distribution of each state is deduced, and the pricing of the above four groups of volatility option models is completed.Compared with the previous studies on the pricing of this kind of options, this paper explores a new approach and extends the stochastic cross tree method successfully to the pricing of this option.Through the relevant research in this paper, it is found that the convergence, stability and effectiveness of the stochastic cross tree algorithm are very good both in the pricing of American call volatility options and American put volatility options.
【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】：2013
【分類號(hào)】：F830.91;F224

【共引文獻(xiàn)】

相關(guān)期刊論文 前2條

1 鮑群芳;陳思;李勝宏;;VIX期權(quán)定價(jià)與校正[J];金融理論與實(shí)踐;2012年04期

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相關(guān)會(huì)議論文 前1條

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相關(guān)博士學(xué)位論文 前2條

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相關(guān)碩士學(xué)位論文 前5條

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4 戴屹;我國(guó)股市尾部風(fēng)險(xiǎn)度量及尾部相關(guān)性研究[D];暨南大學(xué);2013年

5 于春奇;回望期權(quán)二項(xiàng)式方法定價(jià)研究[D];哈爾濱工業(yè)大學(xué);2012年

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本文編號(hào)：1714188