梯式期权定价模型

发布时间：2018-01-05 20:30

本文关键词：梯式期权定价模型　出处：《西安工程大学》2013年硕士论文　论文类型：学位论文

【摘要】：金融市场的快速发展，促进了许多奇异期权的出现，而梯式期权是一种较为复杂的奇异期权，这种期权除了设定行使价外，还同时设有多个“梯级价”，只要标的资产的价格触及某一梯级价，就可锁定一定水平的获利。本文系统地研究了在布朗运动环境下简易梯式期权和复杂梯式期权的定价问题。共包括五章。第一章，介绍了期权定价理论的发展与现状，以及本文的选题依据和主要内容。第二章，介绍了期权定价理论的有关基本概念及基本原理。第三章，在随机利率的假设下，利用风险中性概率测度的方法，根据有限区间上具有漂移的布朗运动的最大值、最小值分布，给出了随机利率情形下的简易梯式看涨期权和看跌期权的定价公式。第四章，在第三章的基础上，假设利率是随机的，利用风险中性概率测度的方法，根据有限区间上的具有漂移的布朗运动的最大值、最小值以及具有漂移的布朗运动的最大值、最小值分别与终值的联合分布，给出了随机利率情形下的复杂梯式看涨期权和看跌期权的定价公式。第五章，总结全文并提出进一步研究问题。
[Abstract]:The rapid development of financial market, promote the emergence of a number of exotic options, and ladder option is an exotic option is more complex, in addition to set this option exercise price, but at the same time a number of "cascade" price, as long as the price of the underlying asset price hit a cascade, you can lock a certain level of profit.
This paper systematically studies the pricing of simple ladder options and complex ladder options under the Brown movement. It includes five chapters.
The first chapter introduces the development and present situation of the option pricing theory, as well as the basis and main content of this paper.
In the second chapter, the basic concepts and basic principles of the option pricing theory are introduced.
The third chapter, under the assumption of stochastic interest rate, and using risk neutral probability measure method, according to the maximum value and minimum value distribution of drift Brown motion on a limited interval, we give the pricing formula of simple ladder call and put option under the condition of stochastic interest rate.
In the fourth chapter, the third chapter on the basis of the assumption that the interest rate is random, using the method of risk neutral probability measure, according to the maximum value on finite interval with drift Brown motion, the minimum value and maximum value of Brown motion with drift, the minimum value and final value of joint distribution respectively, gives the pricing formula of random the interest rate under the condition of complex ladder call and put option.
The fifth chapter summarizes the full text and puts forward further research issues.

【学位授予单位】：西安工程大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91;F224

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