农产品敲出双障碍期货期权定价及其应用

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1、中图分类号:O29单位代码:10231学号:42120797农产品敲出双障碍期货期权定价及其应用学科专业：应用数学研究方向：金融数学与精算学作者姓名：王慧指导教师：王玉文教授哈尔滨师范大学二O一五年六月中图分类号:O29单位代码:10231学号:42120797硕士学位论文农产品敲出双障碍期货期权定价及其应用硕士研究生：王慧导师：王玉文教授研究方向：金融数学与精算学答辩日期：2015年6月授予学位单位：哈尔滨师范大学CLCNumber:O29SchoolCode:10231No.:42120797AThesis

2、SubmittedfortheDegreeofMasterTheFuturesOptionPricingofknock-outDoubleBarrierinAgricultureProductsandApplicationCandidate:HuiWangSupervisor:ProfessorYuwenWangSpeciality:AppliedMathematicsDateofDefense:June,2015Degree-Conferring-Institution:HarbinNormalUnivers

3、ity目录目录摘要·······················································IAbstract···················································II第1章绪论·················································11.1课题背景及研究意义······································11.2期货期权定价发展···············

4、························21.3本文研究的主要内容······································3第2章基础知识·············································52.1布朗运动与鞅···········································52.2伊藤过程及一维伊藤公式··································52.3障碍期权介绍··················

5、·························82.4本章小结··············································8第3章求解农产品敲出双障碍期货期权定价公式的鞅方法···············93.1基本模型建立···········································93.2鞅方法求解定价公式·····································103.3本章小结··························

6、···················15第4章求解农产品敲出双障碍期货期权定价公式的偏微分方程方法·······164.1建立期货期权偏微分方程组································174.2偏微分方程方法求解定价公式······························224.3本章小结·············································22第5章农产品敲出双障碍期货期权的实际应用······················235.1问

7、题背景·············································235.2基本概念·············································245.3解决方案·············································24结论······················································26参考文献······································

8、·············27攻读硕士学位期间所发表的学术论文······························29独创性声明、使用授权书·······································30致谢······················································31ContentsContentsAbstr