链式障碍期权的对冲

发布时间：2018-05-29 17:48

本文选题：链式障碍期权 + 静态对冲　；参考：《吉林大学》2017年硕士论文

【摘要】：障碍期权,是一种应用极其广泛的金融衍生品.它具有很好的灵活性,并且相比普通期权价格更加低廉.随着投资者的需求不断丰富,越来越复杂的障碍期权被设计出来,链式障碍期权就是其中一种.除了期权定价问题备受关注,从风控角度来说,期权的对冲也是一项需要考虑的重要问题.本文在Jum和Ku(2012,2013,2015)[1,2,3]对链式障碍期权研究的基础上,遵从BS模型下的垂直价差策略,给出了更加复杂的链式障碍期权,即双链式障碍期权的静态对冲策略.运用反射原理,用普通期权静态复制投资组合来对冲链式障碍期权,运用模特卡洛模拟数值结果证明对冲策略的准确性.本文第一章介绍了障碍期权的研究背景和已有研究成果,第二章简单介绍期权,障碍期权的相关概念和一些基本定理,第三章简单回顾了Ju和Ku(2015)[3]对单链式障碍期权的静态对冲策略,在此基础上依照Jun和Ku在[3]中对单链式障碍期权的静态对冲方法,给出了更加复杂的链式障碍期权的静态对冲策略.第四章对结果进行分析和数值模拟,检验结果的准确性.最终得出此对冲方法对链式障碍期权是有效的,并且可推广到更加复杂的链式障碍期权.
[Abstract]:Obstacle option is a kind of financial derivative which is widely used. It has good flexibility and is cheaper than ordinary options. With the increasing demand of investors, more and more complex barrier options are designed, chain barrier options is one of them. In addition to the issue of option pricing, option hedging is also an important issue to consider from the wind control point of view. In this paper, based on the study of chain barrier options by Jum and Kuqin2012 / 2013 / 2015), a more complex chain barrier option, I. E. the static hedging strategy of double chain barrier options, is proposed, which follows the vertical spread strategy under BS model. By using the reflection principle and using the ordinary option static copy portfolio to hedge the chain barrier option, the numerical results of model Carlo simulation are used to prove the accuracy of the hedging strategy. The first chapter of this paper introduces the background of barrier options and the existing research results. The second chapter briefly introduces the options, the related concepts of barrier options and some basic theorems. In chapter 3, we briefly review the static hedging strategies of Ju and Kuang 2015) [3] to single chain barrier options, and then according to the static hedging methods of Jun and Ku in [3], A more complex static hedging strategy for chain barrier options is presented. In chapter 4, the results are analyzed and simulated to verify the accuracy of the results. Finally, it is concluded that this hedging method is effective for chain barrier options and can be extended to more complex chain barrier options.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F830.9

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