【摘要】：亞式期權(quán)是一種強(qiáng)路徑依賴型期權(quán),已成為金融市場(chǎng)中最活躍的新型期權(quán)之一,其定價(jià)問(wèn)題也已成為金融衍生資產(chǎn)定價(jià)研究的熱點(diǎn)問(wèn)題。本文研究了一類新型的算術(shù)平均亞式期權(quán)—儲(chǔ)蓄亞式期權(quán)定價(jià)問(wèn)題。儲(chǔ)蓄亞式期權(quán)既保留了美亞期權(quán)定價(jià)可提前執(zhí)行的靈活性,又比經(jīng)典的亞式期權(quán)具有更多優(yōu)點(diǎn)。在風(fēng)險(xiǎn)中性的假設(shè)下,我們對(duì)一致二叉樹(shù)股票價(jià)格模型中的儲(chǔ)蓄亞式期權(quán)定價(jià)進(jìn)行了深入研究,給出了為這類期權(quán)定價(jià)進(jìn)行近似計(jì)算的數(shù)值方法。該方法采用隨機(jī)抽取代表狀態(tài)計(jì)算儲(chǔ)蓄亞式期權(quán)期望收益的近似值,同時(shí)給出了誤差估計(jì)及其置信度。這在理論上更為完善,也更貼近現(xiàn)實(shí),克服了亞式期權(quán)定價(jià)近似計(jì)算的AM0算法對(duì)狀態(tài)選取的局限性。
[Abstract]:Asian option is a strong path dependent option and has become one of the most active new options in the financial market. The pricing of Asian option has also become a hot issue in the research of financial derivative asset pricing. In this paper, we study a new type of arithmetic average Asian option-savings Asian option pricing problem. Savings Asian option not only retains the flexibility of American Asian option pricing, but also has more advantages than the classical Asian option. Under the assumption of risk neutrality, we deeply study the pricing of savings Asian options in the uniform binary tree stock price model, and give a numerical method to approximate the pricing of this kind of options. In this method, the approximate value of the expected income of the savings Asian option is calculated by using the random sampling representative state, and the error estimate and its confidence are given at the same time. This method is more perfect in theory and closer to reality. It overcomes the limitation of AM0 algorithm of Asian option pricing approximation to state selection.
【學(xué)位授予單位】：華中師范大學(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

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本文編號(hào)：2181034