本文選題：奇異期權(quán) + 期權(quán)定價(jià)�。� 參考：《河北師范大學(xué)》2012年碩士論文

【摘要】：奇異期權(quán)是一種重要的金融衍生產(chǎn)品,是投資者和風(fēng)險(xiǎn)管理者進(jìn)行套期保值和控制金融風(fēng)險(xiǎn)的重要工具.因此,奇異期權(quán)的定價(jià)問(wèn)題一直是金融數(shù)學(xué)研究的熱點(diǎn)之一. 本文首先對(duì)兩資產(chǎn)最小值或最大值期權(quán)進(jìn)行擴(kuò)展和研究,得到了參數(shù)與時(shí)間有關(guān)的兩時(shí)間點(diǎn)兩資產(chǎn)彩虹期權(quán)的定價(jià)公式,并且推廣了Stulz的結(jié)果.此外,我們還構(gòu)造并研究了一種新型奇異期權(quán)—帶障礙的回望期權(quán).該期權(quán)是通過(guò)在回望期權(quán)的標(biāo)的資產(chǎn)價(jià)格上設(shè)置一個(gè)障礙水平而得到的,這使其具備了回望期權(quán)和障礙期權(quán)的雙重性質(zhì).帶障礙的回望期權(quán)比回望期權(quán)的價(jià)格更低,同時(shí)比障礙期權(quán)的收益更高.因此,在金融衍生產(chǎn)品市場(chǎng)上更具競(jìng)爭(zhēng)優(yōu)勢(shì).
[Abstract]:Singular option is an important financial derivative, which is an important tool for investors and risk managers to hedge and control financial risks. Therefore, the pricing of singular options has been one of the hotspots in financial mathematics. In this paper, we first extend and study the minimum or maximum option of two assets, and obtain the pricing formula of two asset rainbow options with time-dependent parameters, and generalize the results of Stulz. In addition, we construct and study a new kind of strange option-the backlook-back option with obstacles. The option is obtained by setting an obstacle level on the underlying asset price of the return option, which makes it have the dual nature of the return option and the barrier option. The return option with obstacles is lower than the return option, and the return is higher than the barrier option. Therefore, in the financial derivatives market more competitive advantage.
【學(xué)位授予單位】：河北師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F224;F830.9

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 彭斌;;兩資產(chǎn)亞式彩虹期權(quán)的定價(jià)研究[J];系統(tǒng)工程學(xué)報(bào);2007年04期

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本文編號(hào)：1923713