欧式巨灾任选股票期权定价及其对冲
发布时间：2018-12-31 16:54
【摘要】：巨灾风险是指突发性、不可预料、无法回避而且危害性极大的自然灾难性事件所产生的风险.近几十年来,世界范围内自然灾害(地震、海啸、飓风、水旱灾、泥石流等)频繁发生,给人类带来极大的生命和财产损失,损失爆发的频率和严重程度以惊人的速度上升.由此引发的巨额保险赔付让传统的保险经营方式承受着极大的挑战,制约了保险业的发展.巨灾期权是一种保险风险转移的金融工具,他利用风险证券化将保险市场与证券市场有效结合,用资本市场的实力来分散(再)保险公司的巨灾风险,使金融、保险实现一体化. 尽管巨灾期权或巨灾股票期权深受保险业和投资者的喜爱,但是他们并没有在市场上很好的发展起来,究其原因主要是难以准确定价期权合约,以及供投资者选择的证券化产品数量不足.基于此,本文通过引入一类新型的巨灾任选股票期权,并研究其定价与风险管理问题,主要内容有： 第二章在常数利率条件下假设巨灾损失总额满足复合Poisson过程,以及市场股票价格满足几何布朗运动的情形下,研究巨灾简单任选期权和复杂任选期权的定价,给出了他们的定价公式和对冲避险策略.在假定巨灾损失额服从正态分布的条件下进一步给出巨灾任选期权的评价,以及数值计算了风险发生频率入,巨灾损失参数θ,δ对期权合约的影响. 第三章在随机利率条件下研究巨灾简单任选期权和复杂任选期权的定价问题,应用远期测度变换方法给出了巨灾任选股票期权的显示解,并在利率满足Vasicek模型下分析了利率模型中各参数值变动对期权价格的影响. 第四章总结了本文的主要工作及有待进一步研究的问题.
[Abstract]:Catastrophe risk refers to the risk caused by sudden, unpredictable, unavoidable and extremely harmful natural catastrophic events. In recent decades, natural disasters (earthquakes, tsunamis, hurricanes, water droughts, mudslides, etc.) occur frequently in the world, which bring great loss of life and property to human beings, and the frequency and severity of loss increases at an alarming speed. The huge amount of insurance indemnity caused by this makes the traditional insurance management way bear great challenge, which restricts the development of insurance industry. Catastrophe option is a kind of financial tool for insurance risk transfer. It uses risk securitization to effectively combine insurance market with securities market, distributes (re-) the catastrophe risk of insurance company with the strength of capital market, and makes finance, Insurance is integrated. Although catastrophe options or catastrophe stock options are popular among insurance and investors, they are not well developed in the market, mainly because of the difficulty in accurately pricing options contracts. And the number of securitisation products for investors to choose from. Based on this, this paper introduces a new type of catastrophe optional stock options, and studies its pricing and risk management problems. The main contents are as follows: the second chapter assumes that the total amount of catastrophe loss satisfies the compound Poisson process under the condition of constant interest rate. Under the condition that the market stock price satisfies the geometric Brownian motion, the pricing of catastrophe simple optional option and complex optional option is studied, and their pricing formula and hedging strategy are given. Under the assumption that the catastrophe loss amount is normal distribution, the evaluation of catastrophe optional option is further given, and the influence of risk frequency input, catastrophe loss parameter 胃, 未 on the option contract is numerically calculated. In chapter 3, we study the pricing problem of catastrophe simple option and complex option under the condition of random interest rate, and give the display solution of catastrophe optional stock option by using the method of forward measure transformation. And under the Vasicek model of interest rate satisfaction, the influence of the change of each parameter value on the option price is analyzed in the interest rate model. The fourth chapter summarizes the main work of this paper and the problems to be further studied.
【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.9
本文编号：2396860
[Abstract]:Catastrophe risk refers to the risk caused by sudden, unpredictable, unavoidable and extremely harmful natural catastrophic events. In recent decades, natural disasters (earthquakes, tsunamis, hurricanes, water droughts, mudslides, etc.) occur frequently in the world, which bring great loss of life and property to human beings, and the frequency and severity of loss increases at an alarming speed. The huge amount of insurance indemnity caused by this makes the traditional insurance management way bear great challenge, which restricts the development of insurance industry. Catastrophe option is a kind of financial tool for insurance risk transfer. It uses risk securitization to effectively combine insurance market with securities market, distributes (re-) the catastrophe risk of insurance company with the strength of capital market, and makes finance, Insurance is integrated. Although catastrophe options or catastrophe stock options are popular among insurance and investors, they are not well developed in the market, mainly because of the difficulty in accurately pricing options contracts. And the number of securitisation products for investors to choose from. Based on this, this paper introduces a new type of catastrophe optional stock options, and studies its pricing and risk management problems. The main contents are as follows: the second chapter assumes that the total amount of catastrophe loss satisfies the compound Poisson process under the condition of constant interest rate. Under the condition that the market stock price satisfies the geometric Brownian motion, the pricing of catastrophe simple optional option and complex optional option is studied, and their pricing formula and hedging strategy are given. Under the assumption that the catastrophe loss amount is normal distribution, the evaluation of catastrophe optional option is further given, and the influence of risk frequency input, catastrophe loss parameter 胃, 未 on the option contract is numerically calculated. In chapter 3, we study the pricing problem of catastrophe simple option and complex option under the condition of random interest rate, and give the display solution of catastrophe optional stock option by using the method of forward measure transformation. And under the Vasicek model of interest rate satisfaction, the influence of the change of each parameter value on the option price is analyzed in the interest rate model. The fourth chapter summarizes the main work of this paper and the problems to be further studied.
【学位授予单位】：广西师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F830.9
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