用综合模糊分析法研究外汇期权定价理论
发布时间：2019-07-09 13:49
【摘要】：期权(Option)又称选择权,它最早是从股票期权交易开始的,直到20世纪80年代才有外汇期权产生。第一批外汇期权是英镑期权和德国马克期权,由美国费城股票交易所于1982年承办,它是已建立的股票期权交易的变形。外汇期权买卖是近年来兴起的一种交易方式,它是原有的几种外汇保值方式的发展和补充。它既为客户提供了外汇保值的方法,又为客户提供了从汇率变动中获利的机会,具有较大的灵活性。外汇期权的产生归因于两个重要因素：国际金融市场日益剧烈的汇率波动和国际贸易的发展。随着20世纪70年代初期布雷顿森林货币体系危机的出现到最终崩溃,汇率波动越来越剧烈。同时,国际间的商品与劳务贸易也迅速增长,越来越多的交易商面对汇率变动甚剧的市场,寻求避免外汇风险更为有效的途径。 全文共包括六个章节：第一章阐述本文的选题意义以及创新点；第二章是文献综述,文中详细介绍了期权定价的各种已有成熟定价理论,并分析、比较了各种理论在实际应用中的优缺点；第三章是分析外汇期权定价原理,并且选出了外汇期权定价的几个重要因素；第四章是文章的理论部分,介绍了综合模糊分析方法的理论和工具等；第五章是外汇期权定价分析,按照本文所提方法,通过选取各个因素指标、计算权重,并对各个影响因素指标赋值,汇总得出数值结果,给出价格趋势结论；最后一章是文章的总结。
[Abstract]:Option (Option), also known as option, first began with stock option trading and did not have foreign exchange options until the 1980s. The first foreign exchange options were sterling options and German mark options, which were undertaken by the Philadelphia Stock Exchange in 1982 and are the deformation of established stock options trading. Foreign exchange option trading is a kind of trading mode rising in recent years, which is the development and supplement of several original foreign exchange preservation methods. It not only provides customers with the method of foreign exchange preservation, but also provides customers with the opportunity to profit from exchange rate changes, and has greater flexibility. The emergence of foreign exchange options is attributed to two important factors: the increasingly violent exchange rate fluctuations in the international financial market and the development of international trade. With the emergence of the Bretton Woods monetary system crisis in the early 1970 s and the final collapse, the exchange rate fluctuated more and more violently. At the same time, international trade in goods and services is also growing rapidly, and more dealers are looking for more effective ways to avoid foreign exchange risks in the face of exchange rate fluctuations. The full text consists of six chapters: the first chapter expounds the significance and innovation of this paper; the second chapter is a literature review, which introduces in detail all kinds of mature pricing theories of option pricing, and analyzes and compares the advantages and disadvantages of various theories in practical application. The third chapter is to analyze the principle of foreign exchange option pricing and select several important factors of foreign exchange option pricing. The fourth chapter is the theoretical part of the article, which introduces the theory and tools of the comprehensive fuzzy analysis method; the fifth chapter is the foreign exchange option pricing analysis, according to the method proposed in this paper, through the selection of each factor index, calculate the weight, and assign the value of each influencing factor index, summarize the numerical results, give the conclusion of the price trend; the last chapter is the summary of the article.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.9;F224
本文编号：2512187
[Abstract]:Option (Option), also known as option, first began with stock option trading and did not have foreign exchange options until the 1980s. The first foreign exchange options were sterling options and German mark options, which were undertaken by the Philadelphia Stock Exchange in 1982 and are the deformation of established stock options trading. Foreign exchange option trading is a kind of trading mode rising in recent years, which is the development and supplement of several original foreign exchange preservation methods. It not only provides customers with the method of foreign exchange preservation, but also provides customers with the opportunity to profit from exchange rate changes, and has greater flexibility. The emergence of foreign exchange options is attributed to two important factors: the increasingly violent exchange rate fluctuations in the international financial market and the development of international trade. With the emergence of the Bretton Woods monetary system crisis in the early 1970 s and the final collapse, the exchange rate fluctuated more and more violently. At the same time, international trade in goods and services is also growing rapidly, and more dealers are looking for more effective ways to avoid foreign exchange risks in the face of exchange rate fluctuations. The full text consists of six chapters: the first chapter expounds the significance and innovation of this paper; the second chapter is a literature review, which introduces in detail all kinds of mature pricing theories of option pricing, and analyzes and compares the advantages and disadvantages of various theories in practical application. The third chapter is to analyze the principle of foreign exchange option pricing and select several important factors of foreign exchange option pricing. The fourth chapter is the theoretical part of the article, which introduces the theory and tools of the comprehensive fuzzy analysis method; the fifth chapter is the foreign exchange option pricing analysis, according to the method proposed in this paper, through the selection of each factor index, calculate the weight, and assign the value of each influencing factor index, summarize the numerical results, give the conclusion of the price trend; the last chapter is the summary of the article.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830.9;F224
【参考文献】
相关期刊论文 前2条
1 王信存;黄金鹏;;基于模糊综合评价的信用风险评估[J];辽宁师范大学学报(自然科学版);2009年02期
2 赵琴;;基于模糊层次分析法的银行系QDII理财产品风险评估模型[J];中国外资;2011年04期
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