新型期权定价及其应用研究

《新型期权定价及其应用研究》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。

1、东南大学博士学位论文新型期权定价及其应用研究姓名：吴云申请学位级别：博士专业：管理科学与工程指导教师：何建敏20030301ABSTRACTSince1980s，Financialderivativeshavebeenwidelydevelopedininternationalfinance’l'hecreationandtransactionoffinancialderivativeshavebeenthemainpartoftheinternationalfinancialinnovations．Withthereformingandopening，andenteringi

2、ntoWTO，itisveryimportanttocreatefinancialderivativesandacceleratefinancialimlovationinChina．Optionsarethecoreoffinancialderivatives，whicharewidelyappliedlintonlyillfinancialengineering，butalsoininvestment，insurance，etcOptionshaveimportanteconomicfunctions，whichCalleludemarketrisk，increasemar

3、ketfluidity,decreasetransactioncosts，andimprovetransactionefficiencyAsencouragementmeans，optionscanalsosolveso-calledprincipal-agentproblemWiththeinterestratereforming，itisimportanttodevelopinterestrateoptionsSinceBlack—Scholesoptionpricingmodelwaspublished，financialexpertshavedonealotofrese

4、arch，andputforwardbinomiallatticemethodology,MonteCarlomethodology,andfinitedifferencemethodology,etc．toresearchoptionspricingbasedonBlack—Scholesmodel．Inparticular,exoticoptionsthathavedifferentcharacteristicsfromplainoptionsspringuptheseyears，whichbringsupabigchallengetooptionspricingmetho

5、dology．Thisthesisfocusesondiscretenumericalmethodologytoresearchexoticoptionspricingandtheirapplications．Inchapter1，thebasicconceptionofoptionsandBlack—Scholesoptionpricingmodelareintroduced，theresearchonoptionspricingisreviewed，andthesignificanceoftheresearchonoptionspricingispointedout．The

6、basicprinciplesofbinomialandtrinomialtree，andtheup-factor,down—factor,andtheprobabilitiesofbinomialtreeareintroducedinchapter2．TheprobabilitiesofHulltrinomialtreeandRitchken-Kamradtrinomialtreearediscussed．Basedonthebinomialandtrinomialtree，theEuropeanandAmericanoptionspricingformulaearepres

7、ented．Inchapter3，UpKnock—outoptionsanddoubleKnock—outoptionsaredissertated．Theinterpolationapproachbasedonbinomialtreeisputforwardtosolvetheoptionspricing．TheinterpolationapproachisalsoextendedtosolvedoubleKnock—outoptionspricingunderstochasticinte