本文選題：脆弱期權(quán)定價(jià) + 違約風(fēng)險(xiǎn)�。� 參考：《中國礦業(yè)大學(xué)》2017年碩士論文

【摘要】：信用風(fēng)險(xiǎn)是金融市場中的一類難以被定量分析以及管理的風(fēng)險(xiǎn)。信用衍生產(chǎn)品自1992年被提出以來,以其現(xiàn)實(shí)中的實(shí)用性深受投資者追捧并獲得了快速的發(fā)展。但是實(shí)際市場中的信用衍生品交易中,場外交易(OTC)份額占到了交易總額的絕大部分。場外市場中由于沒有特定的監(jiān)管機(jī)構(gòu),導(dǎo)致其遭受信用違約風(fēng)險(xiǎn)的可能性顯著增大。當(dāng)期權(quán)的多頭被同時(shí)暴露在市場風(fēng)險(xiǎn)和信用風(fēng)險(xiǎn)這兩種風(fēng)險(xiǎn)下時(shí),這種期權(quán)被認(rèn)為是脆弱期權(quán)�，F(xiàn)實(shí)生活中,公司資產(chǎn)的報(bào)告通常是按季度給出,為了更加準(zhǔn)確地刻畫出實(shí)際市場中的期權(quán)寫方資產(chǎn),本文第三章給出了一種不完備信息條件下脆弱期權(quán)的定價(jià)模型。在標(biāo)的股票價(jià)格和期權(quán)寫方資產(chǎn)價(jià)格均服從跳擴(kuò)散過程的假設(shè)下,得到了不完備信息下含有信用風(fēng)險(xiǎn)和跳風(fēng)險(xiǎn)的脆弱期權(quán)定價(jià)的解析公式。并通過數(shù)值實(shí)驗(yàn)比較了不完備信息下的脆弱期權(quán)定價(jià)模型與B-S模型、Merton跳擴(kuò)散模型、Klein模型三個(gè)經(jīng)典期權(quán)模型下的期權(quán)價(jià)值。從近年來馬爾可夫體制轉(zhuǎn)換模型的實(shí)際研究可知,馬爾可夫體制轉(zhuǎn)換模型在刻畫宏觀經(jīng)濟(jì)周期方面,如經(jīng)濟(jì)結(jié)構(gòu)調(diào)整、商業(yè)周期循環(huán)以及市場經(jīng)濟(jì)體制改變等獲得了良好的效果;而我們所研究的市場經(jīng)濟(jì)中的股票回報(bào)率、無風(fēng)險(xiǎn)利率、外匯匯率等都與經(jīng)濟(jì)周期和市場經(jīng)濟(jì)體制的變化有關(guān);因此研究基于體制轉(zhuǎn)換的期權(quán)定價(jià)問題更能符合實(shí)際市場的需求。由于在體制轉(zhuǎn)換模型假設(shè)下的金融市場通常是不完備的,導(dǎo)致等價(jià)鞅測度不唯一,因此如何構(gòu)造和選取等價(jià)鞅測度也是本文研究的重要內(nèi)容。本文第四章中,我們在標(biāo)的股票價(jià)格和期權(quán)寫方資產(chǎn)價(jià)格滿足馬爾可夫調(diào)制的跳擴(kuò)散模型假設(shè)的基礎(chǔ)上,研究了考慮跳的市場風(fēng)險(xiǎn)價(jià)格的歐式脆弱期權(quán)定價(jià)問題。在現(xiàn)有的研究跳風(fēng)險(xiǎn)的期權(quán)定價(jià)中,跳風(fēng)險(xiǎn)被分為兩類進(jìn)行研究,一類是將跳風(fēng)險(xiǎn)作為系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行研究,能夠被套期保值;一類是將跳風(fēng)險(xiǎn)作為非系統(tǒng)性風(fēng)險(xiǎn)進(jìn)行研究,不能被套期保值。本章中我們將跳風(fēng)險(xiǎn)作為系統(tǒng)風(fēng)險(xiǎn)進(jìn)行定價(jià),可以被套期保值,因而在從原始測度到風(fēng)險(xiǎn)中性測度的轉(zhuǎn)換過程中需要考慮到跳風(fēng)險(xiǎn)的定價(jià)。在此基礎(chǔ)上,我們還研究了跳風(fēng)險(xiǎn)不被定價(jià)以及考慮相同跳模式下的期權(quán)定價(jià);為了進(jìn)一步研究跳的風(fēng)險(xiǎn)價(jià)值,我們還將跳風(fēng)險(xiǎn)分別存在于標(biāo)的股票和期權(quán)寫方資產(chǎn)以及同時(shí)存在時(shí)的期權(quán)價(jià)值進(jìn)行比較分析。
[Abstract]:Credit risk is a kind of risk which is difficult to be quantitatively analyzed and managed in financial market.Credit derivatives have been developed rapidly by investors because of their practicability since they were put forward in 1992.But in the real market, OTC accounts for the vast majority of credit derivatives trading.The absence of a specific regulator in the OTC market has significantly increased the risk of credit default.When long options are exposed to both market risk and credit risk, this option is considered to be a weak option.In real life, the report of company assets is usually given quarterly. In order to more accurately depict the option writer's assets in the actual market, the third chapter of this paper gives a pricing model of fragile options under the condition of incomplete information.Under the assumption that both the underlying stock price and the asset price of the writer of the option are subject to the process of jump diffusion, an analytical formula for pricing fragile options with credit risk and jump risk under incomplete information is obtained.Through numerical experiments, we compare the value of options under three classical options models, namely the fragile option pricing model with incomplete information and the Merton jump diffusion model and the Klein model with B-S model.From the practical research of Markov system transformation model in recent years, we can see that Markov system transformation model is used to depict the macroeconomic cycle, such as the adjustment of economic structure.The circulation of business cycle and the change of market economy system have got good results, but the stock rate of return, risk-free interest rate, foreign exchange rate and so on are all related to the change of economic cycle and market economy system.Therefore, the study of option pricing based on institutional transformation can better meet the needs of the actual market.Because the financial market under the assumption of institutional transformation model is usually incomplete, the equivalent martingale measure is not unique, so how to construct and select the equivalent martingale measure is also an important content of this paper.In the fourth chapter, based on the assumption that the underlying stock price and the option writer's asset price satisfy the Markovian modulation jump diffusion model, we study the European fragile option pricing problem considering the jump market risk price.In the existing research on the option pricing of jump risk, jump risk is divided into two categories: one is to study jump risk as systemic risk, and the other is to study jump risk as non-systemic risk.Cannot be hedged.In this chapter, we price jump risk as systematic risk and can be hedged, so we need to consider the pricing of jump risk in the process of transition from original measure to risk neutral measure.On this basis, we also study the non-pricing of jump risk and the option pricing under the same jump mode.We also make a comparative analysis of the value of the jump risk in the underlying stock and option writer's assets and in the simultaneous existence of the option.
【學(xué)位授予單位】：中國礦業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F224;F830.9

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