發(fā)布時間：2018-08-13 12:45

【摘要】：亞式期權是一種強路徑依賴型期權,已成為金融市場中最活躍的新型期權之一,其定價問題也已成為金融衍生資產定價研究的熱點問題。本文研究了一類新型的算術平均亞式期權—儲蓄亞式期權定價問題。儲蓄亞式期權既保留了美亞期權定價可提前執(zhí)行的靈活性,又比經典的亞式期權具有更多優(yōu)點。在風險中性的假設下,我們對一致二叉樹股票價格模型中的儲蓄亞式期權定價進行了深入研究,給出了為這類期權定價進行近似計算的數值方法。該方法采用隨機抽取代表狀態(tài)計算儲蓄亞式期權期望收益的近似值,同時給出了誤差估計及其置信度。這在理論上更為完善,也更貼近現實,克服了亞式期權定價近似計算的AM0算法對狀態(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.
【學位授予單位】：華中師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F224;F830.9

【參考文獻】

相關期刊論文 前1條

1 胡日東;關于亞式股票期權及其定價方法的研究[J];數量經濟技術經濟研究;1998年02期

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本文編號：2181034