【摘要】：脆弱期權(quán)(vulnerable option)是指含有信用風(fēng)險(xiǎn)的期權(quán).它是由Johnson和Stulz(1978)首次提出的.信用風(fēng)險(xiǎn),即違約風(fēng)險(xiǎn),是指交易一方因?yàn)榱硪环竭`約或不能全部履行合約而遭受損失的可能性.信用風(fēng)險(xiǎn)是主要的金融風(fēng)險(xiǎn)之一. 在金融衍生產(chǎn)品的構(gòu)成中,有近百分之九十左右的衍生產(chǎn)品是屬于場(chǎng)外交易(OTC)的.OTC金融衍生品與在交易所內(nèi)集中清算和結(jié)算的產(chǎn)品是不同的,它沒(méi)有諸如第三方清算機(jī)構(gòu).因此,對(duì)場(chǎng)外交易市場(chǎng)上含有信用風(fēng)險(xiǎn)期權(quán)的定價(jià)問(wèn)題的研究是很有實(shí)際意義的.本文采用偏微分方程的方法對(duì)Kein模型幾類具有違約風(fēng)險(xiǎn)的期權(quán)進(jìn)行了研究. 1、將kein模型中的常數(shù)波動(dòng)率改進(jìn)為隨機(jī)波動(dòng)率,采用PDE方法對(duì)脆弱期權(quán)進(jìn)行建模,推導(dǎo)出定價(jià)方程,然后利用有限差分方法給出數(shù)值解法,并對(duì)數(shù)值結(jié)果和參數(shù)進(jìn)行了分析. 2、考慮含有交易對(duì)手違約風(fēng)險(xiǎn)的雙幣種期權(quán)的定價(jià),在固定匯率和浮動(dòng)匯率情況下,采用PDE方法對(duì)雙幣種脆弱期權(quán)進(jìn)行建模,推導(dǎo)出定價(jià)方程.然后利用蒙特卡羅(Monte Carlo)方法給出數(shù)值解法,并對(duì)數(shù)值結(jié)果和參數(shù)進(jìn)行了分析. 3、考慮含有交易對(duì)手違約風(fēng)險(xiǎn)的彩虹障礙期權(quán)的定價(jià),采用PDE方法對(duì)脆弱彩虹障礙期權(quán)進(jìn)行建模,推導(dǎo)出具有違約風(fēng)險(xiǎn)的八種彩虹障礙期權(quán)滿足的偏微分方程,然后利用有限差分方法給出數(shù)值解法.
[Abstract]:Weak option (vulnerable option) is an option with credit risk. It was first proposed by Johnson and Stulz (1978). Credit risk, that is, default risk, refers to the possibility that one party of the transaction will suffer losses because the other party defaults or fails to perform the contract in its entirety. Credit risk is one of the main financial risks. In the composition of financial derivatives, nearly 90% of them belong to over-the-counter (OTC). OTC financial derivatives are different from centralized clearing and clearing products in exchanges. It does not have, for example, a third party clearing house. Therefore, it is of practical significance to study the pricing of options with credit risk in OTC market. In this paper, the partial differential equation is used to study several kinds of options with default risk in Kein model. 1. The constant volatility in the kein model is improved to random volatility, the PDE method is used to model the fragile options, the pricing equation is derived, and the numerical solution is given by using the finite difference method, and the numerical results and parameters are analyzed. 2. Considering the pricing of dual-currency options with counterparty default risk, under the condition of fixed exchange rate and floating exchange rate, the PDE method is used to model the dual-currency vulnerable options, and the pricing equation is derived. Then the numerical solution is given by Monte Carlo (Monte Carlo) method, and the numerical results and parameters are analyzed. 3. Considering the pricing of rainbow barrier options with counterparty default risk, using PDE method to model fragile rainbow barrier options, the partial differential equations of eight rainbow barrier options with default risk are derived. Then the numerical method is given by the finite difference method.
【學(xué)位授予單位】：上海師范大學(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10條

1 胡俞越;;全球金融危機(jī)下中國(guó)期貨市場(chǎng)的創(chuàng)新之路[J];北京工商大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2009年02期

2 付長(zhǎng)青,張世斌;具有違約風(fēng)險(xiǎn)的美式買權(quán)的定價(jià)問(wèn)題[J];復(fù)旦學(xué)報(bào)(自然科學(xué)版);2002年05期

3 黃國(guó)安;鄧國(guó)和;;國(guó)內(nèi)外利率為隨機(jī)的雙幣種重置型期權(quán)定價(jià)[J];大學(xué)數(shù)學(xué);2011年02期

4 周香英;潘堅(jiān);;隨機(jī)利率下兩類奇異期權(quán)定價(jià)的偏微分方程方法[J];贛南師范學(xué)院學(xué)報(bào);2010年06期

5 李亞瓊;黃立宏;;兩種匯率制度的雙幣種期權(quán)定價(jià)模型及其解[J];經(jīng)濟(jì)數(shù)學(xué);2009年04期

6 周媛;李亞瓊;;使用雙幣種期權(quán)的風(fēng)險(xiǎn)管理[J];經(jīng)濟(jì)數(shù)學(xué);2010年04期

7 劉文娟;孫寧華;;百年期權(quán)定價(jià)[J];科技情報(bào)開(kāi)發(fā)與經(jīng)濟(jì);2006年04期

8 周密;;跳躍擴(kuò)散型雙幣種期權(quán)的定價(jià)[J];科學(xué)技術(shù)與工程;2010年34期

9 劉蕊蕊;徐云;;考慮信用風(fēng)險(xiǎn)的亞式期權(quán)定價(jià)[J];數(shù)學(xué)理論與應(yīng)用;2010年03期

10 郭培棟,張寄洲;隨機(jī)利率下雙幣種期權(quán)的定價(jià)[J];上海師范大學(xué)學(xué)報(bào)(自然科學(xué)版);2006年06期

相關(guān)碩士學(xué)位論文 前3條

1 陳俊霞;歐式期權(quán)定價(jià)的兩個(gè)問(wèn)題探討[D];華中科技大學(xué);2006年

2 王博;含信用風(fēng)險(xiǎn)的障礙期權(quán)的定價(jià)[D];華中科技大學(xué);2007年

3 柳士峰;具有交易費(fèi)用的雙幣種期權(quán)定價(jià)[D];湖南大學(xué);2010年

，

本文編號(hào)：2331825