本文關(guān)鍵詞：股票質(zhì)押貸款中的定價(jià)模型研究　出處：《南京財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票質(zhì)押貸款 帶上限的股票質(zhì)押貸款 跳—擴(kuò)散 最優(yōu)停時(shí) 負(fù)利率

【摘要】：本文討論幾種不同情況下的股票質(zhì)押貸款定價(jià)模型,并通過對(duì)其中參數(shù)的算例分析得出相關(guān)結(jié)論.首先,在本文的第一章,給出了文章的選題背景,文獻(xiàn)綜述以及文章的主要結(jié)構(gòu)與研究意義.其次,在本文的第二章,主要研究股票價(jià)格服從幾何布朗運(yùn)動(dòng)的幾種股票質(zhì)押貸款的定價(jià)問題.首先,介紹了現(xiàn)有的股票質(zhì)押貸款模型(Xia和Zhou).其次,研究了設(shè)置股票價(jià)格帶常數(shù)上限與變化上限的兩種定價(jià)模型,并提出了問題的求解方法.最后,通過算例分析比較發(fā)現(xiàn),帶上限的股票質(zhì)押貸款模型比無上限的股票質(zhì)押貸款模型有較低的貸款費(fèi)用和更強(qiáng)的流動(dòng)性.再次,在本文的第三章,主要研究股票價(jià)格變化服從跳一擴(kuò)散過程下的股票質(zhì)押貸款的定價(jià)問題.首先介紹了跳擴(kuò)散模型的基礎(chǔ)理論,并建立了最基本的跳擴(kuò)散過程模型.其次,分析了在股票價(jià)格變化服從跳擴(kuò)散過程情形下的股票質(zhì)押貸款定價(jià)問題,建立相應(yīng)模型,利用最優(yōu)停時(shí)理論和破產(chǎn)理論,給出了服從跳擴(kuò)散過程的股票質(zhì)押貸款定價(jià)公式.最后,對(duì)所得結(jié)果進(jìn)行算例分析,得出了各參數(shù)之間的變化規(guī)律.當(dāng)貸款金額一定時(shí),隨著λ增加,同比例貸款的費(fèi)用先增加達(dá)到最值后又降低；當(dāng)兄一定時(shí),可以得到隨著q增加,同比例貸款的費(fèi)用也相應(yīng)的增加；當(dāng)貸款金額一定時(shí),并且當(dāng)77增加時(shí),同比例的貸款費(fèi)用下降；當(dāng)η一定時(shí),隨著q增加,可以得到同比例貸款的費(fèi)用也相應(yīng)的增加.最后,在本文的第四章,通過總結(jié)得出股票質(zhì)押貸款的價(jià)值,也就是當(dāng)股票價(jià)格服從兩種模型下(幾何布朗運(yùn)動(dòng)以及跳擴(kuò)散模型)的股票質(zhì)押貸款的價(jià)值,顯然,兩者相比,當(dāng)股票質(zhì)押貸款的貸款額度相同時(shí),后者的貸款價(jià)值高于前者；當(dāng)然也可以推導(dǎo)出貸款額度與貸款費(fèi)用之間的關(guān)系.同時(shí)也對(duì)對(duì)這一領(lǐng)域的未來發(fā)展做出了展望.
[Abstract]:This paper discusses several pricing models of stock pledge loan under different conditions, and gets the relevant conclusions by analyzing the parameters. Firstly, in the first chapter of this paper, the background of this paper is given. The main structure and significance of this paper. Secondly, in the second chapter, we mainly study the pricing of stock price from the geometric Brownian motion of several kinds of stock mortgage loans. This paper introduces the existing stock pledge loan models, Xia and Zhouan. Secondly, two pricing models with constant upper limit and change upper limit are studied, and the solution to the problem is proposed. Through the analysis and comparison of numerical examples, it is found that the stock pledge loan model with upper limit has lower loan cost and stronger liquidity than the stock pledge loan model with no upper limit. Thirdly, in the third chapter of this paper. This paper mainly studies the pricing of stock pledge loan in the process of changing stock price from jump to diffusion. Firstly, the basic theory of jump diffusion model is introduced, and the most basic jump diffusion process model is established. Secondly. This paper analyzes the pricing problem of stock pledge loan under the condition of stock price changing and diffusion from jump to diffusion, establishes the corresponding model, and uses the optimal stopping time theory and bankruptcy theory. This paper gives the pricing formula of stock pledge loan in the process of jump diffusion. Finally, the result is analyzed by an example, and the law of variation among the parameters is obtained. When the loan amount is fixed, the value of loan increases with 位. The cost of the same proportion loan first increases to the maximum value and then decreases; When the brother is certain, can get with Q increase, the cost of the loan of the same proportion also increases accordingly; When the loan amount is fixed, and when 77 increases, the loan cost of the same proportion decreases; When 畏 is fixed, with the increase of Q, the cost of obtaining the same proportion of loans will increase accordingly. Finally, in chapter 4th of this paper, the value of stock pledge loan is obtained by summing up. That is, when the stock price from the two models (geometric Brownian motion and jump diffusion model) of the value of the stock pledge loan, obviously, compared with the two, when the loan amount of the stock pledge loan is the same. The loan value of the latter is higher than that of the former; The relationship between loan amount and loan cost can also be deduced, and the future development of this field is also prospected.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.91;F224

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本文編號(hào)：1427606