关于两种新型奇异期权的定价问题

发布时间：2018-05-23 06:55

本文选题：奇异期权 + 期权定价　；参考：《河北师范大学》2012年硕士论文

【摘要】：奇异期权是一种重要的金融衍生产品,是投资者和风险管理者进行套期保值和控制金融风险的重要工具.因此,奇异期权的定价问题一直是金融数学研究的热点之一. 本文首先对两资产最小值或最大值期权进行扩展和研究,得到了参数与时间有关的两时间点两资产彩虹期权的定价公式,并且推广了Stulz的结果.此外,我们还构造并研究了一种新型奇异期权—带障碍的回望期权.该期权是通过在回望期权的标的资产价格上设置一个障碍水平而得到的,这使其具备了回望期权和障碍期权的双重性质.带障碍的回望期权比回望期权的价格更低,同时比障碍期权的收益更高.因此,在金融衍生产品市场上更具竞争优势.
[Abstract]:Singular option is an important financial derivative, which is an important tool for investors and risk managers to hedge and control financial risks. Therefore, the pricing of singular options has been one of the hotspots in financial mathematics. In this paper, we first extend and study the minimum or maximum option of two assets, and obtain the pricing formula of two asset rainbow options with time-dependent parameters, and generalize the results of Stulz. In addition, we construct and study a new kind of strange option-the backlook-back option with obstacles. The option is obtained by setting an obstacle level on the underlying asset price of the return option, which makes it have the dual nature of the return option and the barrier option. The return option with obstacles is lower than the return option, and the return is higher than the barrier option. Therefore, in the financial derivatives market more competitive advantage.
【学位授予单位】：河北师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.9

【参考文献】