复合期权的定价研究.pdf

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13、Ƕa-*Ñ.¶AÛÙK$ÄIABSTRACTOptionsisafinancialderivatesproduct,whichoccurredfromUSAinthemiddleof1970s.Sincethen,thestudyofoptionspricingtheoryanditsapplicationhavedevel-oped

14、rapidlyandreapedrichachievements.Inordertosatisfymoreinvestors’demand,manyfinancialcompanieshaveintroducedvariousnewoptions.Howtopricethesenewoptionsisoneofmostimportantproblemsurgentlyneedingtobesolvedbyfinancialandmathematicspeople.Thispapermainlydiscussesthepricingofcompoundoptioninfinance

15、,usingmathe-maticaltoolssuchasstochasticprocessandstochasticanalysis.IntheconditionthatthestochasticrateobeystwodifferentkindsofstochasticprocessandthestockpricefollowsGeometricBrownianMotionorobeysjump-diffusionmodel,wededucefourcompoundoptionpricingformulasbyu