本文選題：隱含波動(dòng)率 + 實(shí)物期權(quán)　； 參考：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：房地產(chǎn)是國(guó)民經(jīng)濟(jì)穩(wěn)定發(fā)展是關(guān)系到民生的重要支柱。但是,因?yàn)榉康禺a(chǎn)開發(fā)周期長(zhǎng),高投入,大的價(jià)格波動(dòng)的特性,使得房地產(chǎn)行業(yè)正面臨著巨大的不確定性,存在著巨大的風(fēng)險(xiǎn)。房地產(chǎn)市場(chǎng)不確定呼喚科學(xué)的投資理念的發(fā)展,因此,使房地產(chǎn)投資在一個(gè)不確定的環(huán)境的理論研究具有重要的意義。房地產(chǎn)投資的主體是各房地產(chǎn)開發(fā)商,他們做房地產(chǎn)開發(fā)和投資的科學(xué)決策,對(duì)是否市場(chǎng)風(fēng)險(xiǎn)的顯著影響,但會(huì)影響房地產(chǎn)行業(yè)的健康發(fā)展國(guó)民經(jīng)濟(jì)的持續(xù)穩(wěn)定發(fā)展。 本文主要得到以下結(jié)果： 第一,我們建立了雙因子跳躍-擴(kuò)散隨機(jī)波動(dòng)率模型,隨機(jī)波動(dòng)率服從一個(gè)的隨機(jī)過程。在求解歐式期權(quán)定價(jià)公式中,引入了價(jià)外指數(shù),考慮到了標(biāo)的資產(chǎn)的隱含波動(dòng)率,通過對(duì)隱含波動(dòng)率泰勒級(jí)數(shù)展開,得到了一個(gè)線性的漸進(jìn)表達(dá)式,并具有很好的計(jì)算速度和精確度。 第二,把雙因子跳躍-擴(kuò)散隨機(jī)波動(dòng)率模型創(chuàng)新性應(yīng)用到房地產(chǎn)項(xiàng)目中,更加有效的對(duì)項(xiàng)目具體價(jià)值進(jìn)行評(píng)估。為決策者提供了一個(gè)更加精確的數(shù)字。 本文內(nèi)容安排： 第一部分為緒論,介紹房地產(chǎn)業(yè)對(duì)國(guó)民經(jīng)濟(jì)的增長(zhǎng)貢獻(xiàn)主要包括3個(gè)方面：(1)作為投資的組成,房地產(chǎn)開發(fā)投資對(duì)GDP增長(zhǎng)具有直接貢獻(xiàn)；(2)房地產(chǎn)帶動(dòng)關(guān)聯(lián)產(chǎn)業(yè)對(duì)GDP增長(zhǎng)具有間接貢獻(xiàn)；(3)房地產(chǎn)開發(fā)投資通過對(duì)消費(fèi)的拉動(dòng),引起GDP增長(zhǎng)。影響商品房?jī)r(jià)格的風(fēng)險(xiǎn)因素有很多,諸如制度因素、政策因素、人口因素、技術(shù)因素、經(jīng)濟(jì)因素、國(guó)際因素、心理因素、災(zāi)害因素等等。這些具體的因素又可以從不同角度分為不同的類型。并對(duì)每一種因素加以具體分析。簡(jiǎn)述內(nèi)容框架與研究方法。 第二部分為基本知識(shí),包括期權(quán)、實(shí)物期權(quán)、隨機(jī)分析、維納過程、伊藤引理的簡(jiǎn)單介紹,以及Black-Scholes-Merton公式的證明。第三部分為處理雙因子跳躍-擴(kuò)散隨機(jī)波動(dòng)率模型。第四部分為考慮隱含波動(dòng)率的處理。第五部分對(duì)漸進(jìn)表達(dá)式的證明。第六部分雙因子跳躍-擴(kuò)散隨機(jī)波動(dòng)率模型在實(shí)物期權(quán)中的實(shí)際運(yùn)用。第七部分為總結(jié)與展望。
[Abstract]:Real estate is a stable development of the national economy is an important pillar related to the people's livelihood. However, because of the characteristics of long period of real estate development, high investment and large price fluctuation, the real estate industry is facing great uncertainty and great risks. The uncertainty of real estate market calls for the development of scientific investment concept. Therefore, it is of great significance to study the theory of real estate investment in an uncertain environment. The main body of real estate investment is the real estate developers, who make scientific decisions on real estate development and investment, which have a significant impact on the market risk, but will affect the healthy development of the real estate industry and the sustained and stable development of the national economy. In this paper, the following results are obtained: first, we establish a two-factor hopping diffusion stochastic volatility model, which is followed by a stochastic process. In the solution of European option pricing formula, the extravalency index is introduced. Considering the implied volatility of underlying assets, a linear asymptotic expression is obtained by the Taylor series expansion of implied volatility. And has the very good computation speed and the accuracy. Secondly, the double factor jump-diffusion stochastic volatility model is applied to the real estate project to evaluate the specific value of the project more effectively. It provides a more accurate number for decision makers. The first part is introduction, which introduces the contribution of real estate industry to the growth of national economy in three aspects: (1) as the composition of investment, investment in real estate development has direct contribution to GDP growth; (2) the real estate drive related industries have indirect contribution to GDP growth; (3) the real estate development investment leads to GDP growth by stimulating consumption. There are many risk factors affecting the price of commercial housing, such as institutional factors, policy factors, population factors, technical factors, economic factors, international factors, psychological factors, disaster factors and so on. These specific factors can be divided into different types from different angles. And to each kind of factor carries on the concrete analysis. This paper briefly introduces the content framework and research methods. The second part is the basic knowledge, including options, real options, stochastic analysis, Wiener process, Ito Lemma, and the proof of Black-Scholes-Merton formula. The third part deals with the double-factor jump-diffusion stochastic volatility model. The fourth part is dealing with implicit volatility. The fifth part proves the asymptotic expression. The sixth part is the practical application of double-factor jump-diffusion stochastic volatility model in real options. The seventh part is the summary and prospect.
【學(xué)位授予單位】：西南財(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)】：F224;F299.23

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