回望期权二项式方法定价研究

发布时间：2018-06-25 22:29

本文选题：二项式模型 + 计算机实现　；参考：《哈尔滨工业大学》2012年硕士论文

【摘要】：回望期权是奇异期权的一种，属于较新的金融衍生产品，是一种路径依赖性期权。诸多学者对回望期权的定价方法的探讨一直没有停止过。在金融市场迅速发展壮大、金融产品以及产品组合不断完善创新的趋势下，对回望期权定价方法的研究无论在理论还是实践上都具有重要的意义。本文受到了Terry和Ton于1997年提出的回望期权二项式定价模型的启发，不仅深入探讨和补充完善了这个模型，而且对于模型的结果以及构建思想在深层次从信息完整度的角度给出了解释。本文首先回顾了期权以及回望期权的基本特征以及传统的解析定价方法，然后采用分析比较回望期权二项式定价模型与传统期权二项式定价模型的不同之处并设法修改移植的方法，借助数学推导和经济定义给出了可行的回望期权二项式定价模型。接着深入分析了解析法和离散法的异同，指出离散法符合现实、计算复杂度降低的优势和合理性，并将得到的模型进行了计算机编程实现。完成之后，本文定义非观察点、更新新的差集定义域上的函数、参数和关系，完成了欧式固定协议价格回望期权的二项式定价模型并予以实现，并在此基础上，通过定义节点链接和判断循环最终完成了对美式回望期权的二项式定价模型并予以实现。至此，在先后实现了对欧式固定协议价格回望期权、欧式浮动协议价格回望期权和美式回望期权的二项式定价后，二项式方法已经可以处理全部类型的回望期权的定价。最后，本文对得到的三个模型进行了总结和反思，，提出了模型的可取之处和不足之处，并从信息库和行为金融学等新的方向上提出了一些修正的方向。
[Abstract]:The call option is a kind of exotic option, which belongs to the new financial derivatives and is a path dependent option. Many scholars have not stopped the discussion of the pricing methods of the return options. In the financial market, the pricing method of the return options is the trend of the financial products and the product combination. The research is of great significance both in theory and in practice.
This paper, inspired by the binomial pricing model of the return options proposed by Terry and Ton in 1997, not only explores and supplements this model in depth, but also explains the results of the model and the idea of building it from the angle of information integrity. This paper first reviews the basic characteristics of options and return options. And the traditional analytic pricing method is used to analyze and compare the difference between the binomial pricing model and the traditional option binomial pricing model, and try to modify the method of transplantation. By means of mathematical deduction and economic definition, a feasible return option binomial pricing model is given. Then the analytic method and the discretization are deeply analyzed. The similarities and differences of the methods show that the discretization method is realistic and the computational complexity is reduced. The model is implemented by computer programming.
After completion, this paper defines the non observation point, updates the functions, parameters and relationships of the new difference set definition domain, completes the binomial pricing model of the European fixed price look back option and implements it. On this basis, the binomial pricing model of American return option is finally completed by defining the node link and the judgment cycle. At this point, the binomial method has already been able to deal with the pricing of all types of return options after the pricing of European fixed agreement price looking options, the pricing of European floating agreement and the binomial option of American look back options.
Finally, this paper makes a summary and Reflection on the three models, and puts forward the advantages and disadvantages of the model, and puts forward some revisions in the new direction of information base and behavioral finance.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.9;F224

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