离散分红下个股期权定价的案例分析

发布时间：2018-01-13 05:23

本文关键词：离散分红下个股期权定价的案例分析　出处：《苏州大学》2013年硕士论文　论文类型：学位论文

【摘要】：作为金融衍生品市场的重要组成部分，个股期权越来越受到人们的关注和期待。中国政府和市场对个股期权的推出酝酿已久，然而，任何产品在推出之时都要首先解决其定价问题。实际中，上市公司的分红方式为离散分红，即在某一时点以现金或股票的方式向股东分配红利，这种分红方式会使股价在除息日出现一定程度的“跳跃”，进而影响期权价值。为此，本文专门在离散分红下运用多种模型对欧式个股期权定价的案例进行具体计算研究，并对模型结果进行了分析，以期为从业者提供较为全面的参考。本文安排如下：第一部分为绪论，，对研究背景、研究意义和研究思路进行说明，也对案例进行介绍。第二部分为离散分红模型，对各个离散分红模型的思路和结论进行了简要介绍，所涉及的模型有：提存红利模型、含函数的离散分红模型、支付红利下B-S方程的推广模型、跳扩散模型。第三部分为模型实施，根据各个模型的结论和蒙特卡洛模拟方法，在Matlab下进行计算得出结果并分析。第四部分为总结，对全文进行总结并提出后续研究建议。
[Abstract]:As an important part of the financial derivatives market, individual stock option has been paid more and more attention and expectation. The introduction of individual stock option in Chinese government and market has been brewing for a long time, however. In practice, the dividend of listed companies is discrete dividends, that is, dividends are distributed to shareholders in cash or stock at a certain point. This kind of dividend will make the stock price "jump" to a certain extent on the interest-free day, and then affect the value of the option. In this paper, we use a variety of models under discrete dividend to calculate and study the case of European individual stock option pricing, and analyze the results of the model, in order to provide a more comprehensive reference for practitioners. This article is arranged as follows: the first part is the introduction, to the research background, the research significance and the research thought carries on the explanation, also carries on the introduction to the case. The second part is the discrete dividend model. The ideas and conclusions of each discrete dividend model are briefly introduced. The models involved are: deposit dividend model, discrete dividend model with function, and the generalized model of B-S equation under dividend payment. The third part is the implementation of the model. According to the conclusions of each model and Monte Carlo simulation method, the results are calculated and analyzed under Matlab. Part 4th is the summary. Summarize the full text and put forward suggestions for follow-up research.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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