双重货币模型下股指期货担保期权定价

发布时间：2018-01-02 21:22

本文关键词：双重货币模型下股指期货担保期权定价　出处：《哈尔滨师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文主要研究了在双重货币模型下,股指期货期权和股指期货担保期权的定价问题. 本文主要是运用鞅方法为期权定价.与单货币模型不同的是,在双重货币模型下的研究期权定价问题添加了汇率因素,这里假定汇率也是一个几何布朗运动.首先找到一个与市场测度P等价的概率测度Q,使SP500指数期货期权人民币价格的贴现价格过程在这个测度下是鞅;然后计算了该期权到期时的收益;最后由Black-Scholes框架下的资产定价基本定理,得出收益贴现值在概率测度下的期望，，即为期权的公平价格. 本文得到的最终结果具有较强的实用性.实际应用时,只需将相关参数和系数代入便可为期权定价.同时,本文用到的双币种模型下期权的定价方法可以广泛应用到各种双重货币金融衍生品的定价研究中,具有一定的理论价值.
[Abstract]:This paper mainly studies the pricing of stock index futures options and guaranteed stock index futures options under the dual monetary model. This paper mainly uses martingale method for option pricing. Different from the single currency model, the exchange rate factor is added to the study of option pricing under the dual currency model. It is assumed that the exchange rate is also a geometric Brownian motion. First, we find a probability measure Q which is equivalent to the market measure P. The discount price process of RMB price of SP500 index futures option is martingale under this measure. Then the income of the option when it expires is calculated. Finally, based on the basic theorem of asset pricing under the framework of Black-Scholes, the expectation of the discount value of income under the probability measure is obtained, that is, the fair price of the option. The final results obtained in this paper have strong practicability. In practical application, it is necessary to substitute the relevant parameters and coefficients into the option pricing. At the same time. The option pricing method used in this paper can be widely used in the study of the pricing of dual currency financial derivatives, which has certain theoretical value.
【学位授予单位】：哈尔滨师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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