资产组合自融资条件及其应用

发布时间：2018-02-13 13:47

本文关键词： 自融资条件布朗运动泊松过程　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着金融数学的不断发展,衍生产品定价已经成为了金融数学所要研究的核心问题。近三十年来,已经有很多成熟的定价理论。在本文中,作者通过复制的思想,用标的资产与无风险资产来复制目标衍生品,并推导出自融资条件。通过自融资资产组合来确定衍生产品的价格。在本文中,作者对于标的资产的价格过程分别作了布朗运动,泊松过程,与跳过程这三种假定。通过分别研究这三种情况,得到了相应结论。
[Abstract]:With the development of financial mathematics, derivative pricing has become the core problem of financial mathematics. In the past 30 years, there have been many mature pricing theories. The target derivatives are copied by the underlying assets and the riskless assets, and derived from the financing conditions. The price of the derivatives is determined by the combination of self-financing assets. In this paper, the price process of the underlying assets is respectively subjected to Brownian motion. Poisson process and jump process are three hypotheses. By studying these three cases, the corresponding conclusions are obtained.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.92;F224

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