期权定价问题的李对称分析

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1、上海交通大学硕士学位论文期权定价问题的李对称分析姓名：包文卿申请学位级别：硕士专业：数学指导教师：陈春丽20080118`XbbS1#&sÆ#~+il~q`W1zl:r!TBÆ#*Ua/"$+w3[sXWbbS1H#Black-Scholesu:1UtHW!Yr2G#Black-Scholesu:8&972G#Black-Scholesu:`F2+1GWFokker-Plancku:h^'℄k7WuqAkd1mtyS
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3、verttheproblemofoptionpricingunderstate-dependentvolatilityintoaninitialvalueproblemoftheFokker-Planckequa-tionwithacertainpotential.ByusingtheLiesymmetryanalysisandsimilarityreductionmethod,weareabletowritethesolutionanalytically.Thestudyofafewcasesdemonstratesournewwa

4、yofproducinganalyticaloptionpricingformulaebyusingLiesymmetryanalysisandsimilarityreductionforcertainvolatilityfunctions.Inthispaper,weprovideafewexactsolutionsofcorrespondingcases,andisthereforeregardedasacontributiontotheoptionpricingliterature.Keyword:Optionpricing,g

5、eneralizedBlack-Scholesequation,Fokker-Planckequation,Liesymmetry,similarityreduction.ii
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