股票质押贷款中的定价模型研究

发布时间：2018-01-15 08:38

本文关键词：股票质押贷款中的定价模型研究　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：本文讨论几种不同情况下的股票质押贷款定价模型,并通过对其中参数的算例分析得出相关结论.首先,在本文的第一章,给出了文章的选题背景,文献综述以及文章的主要结构与研究意义.其次,在本文的第二章,主要研究股票价格服从几何布朗运动的几种股票质押贷款的定价问题.首先,介绍了现有的股票质押贷款模型(Xia和Zhou).其次,研究了设置股票价格带常数上限与变化上限的两种定价模型,并提出了问题的求解方法.最后,通过算例分析比较发现,带上限的股票质押贷款模型比无上限的股票质押贷款模型有较低的贷款费用和更强的流动性.再次,在本文的第三章,主要研究股票价格变化服从跳一扩散过程下的股票质押贷款的定价问题.首先介绍了跳扩散模型的基础理论,并建立了最基本的跳扩散过程模型.其次,分析了在股票价格变化服从跳扩散过程情形下的股票质押贷款定价问题,建立相应模型,利用最优停时理论和破产理论,给出了服从跳扩散过程的股票质押贷款定价公式.最后,对所得结果进行算例分析,得出了各参数之间的变化规律.当贷款金额一定时,随着λ增加,同比例贷款的费用先增加达到最值后又降低；当兄一定时,可以得到随着q增加,同比例贷款的费用也相应的增加；当贷款金额一定时,并且当77增加时,同比例的贷款费用下降；当η一定时,随着q增加,可以得到同比例贷款的费用也相应的增加.最后,在本文的第四章,通过总结得出股票质押贷款的价值,也就是当股票价格服从两种模型下(几何布朗运动以及跳扩散模型)的股票质押贷款的价值,显然,两者相比,当股票质押贷款的贷款额度相同时,后者的贷款价值高于前者；当然也可以推导出贷款额度与贷款费用之间的关系.同时也对对这一领域的未来发展做出了展望.
[Abstract]:This paper discusses several pricing models of stock pledge loan under different conditions, and gets the relevant conclusions by analyzing the parameters. Firstly, in the first chapter of this paper, the background of this paper is given. The main structure and significance of this paper. Secondly, in the second chapter, we mainly study the pricing of stock price from the geometric Brownian motion of several kinds of stock mortgage loans. This paper introduces the existing stock pledge loan models, Xia and Zhouan. Secondly, two pricing models with constant upper limit and change upper limit are studied, and the solution to the problem is proposed. Through the analysis and comparison of numerical examples, it is found that the stock pledge loan model with upper limit has lower loan cost and stronger liquidity than the stock pledge loan model with no upper limit. Thirdly, in the third chapter of this paper. This paper mainly studies the pricing of stock pledge loan in the process of changing stock price from jump to diffusion. Firstly, the basic theory of jump diffusion model is introduced, and the most basic jump diffusion process model is established. Secondly. This paper analyzes the pricing problem of stock pledge loan under the condition of stock price changing and diffusion from jump to diffusion, establishes the corresponding model, and uses the optimal stopping time theory and bankruptcy theory. This paper gives the pricing formula of stock pledge loan in the process of jump diffusion. Finally, the result is analyzed by an example, and the law of variation among the parameters is obtained. When the loan amount is fixed, the value of loan increases with 位. The cost of the same proportion loan first increases to the maximum value and then decreases; When the brother is certain, can get with Q increase, the cost of the loan of the same proportion also increases accordingly; When the loan amount is fixed, and when 77 increases, the loan cost of the same proportion decreases; When 畏 is fixed, with the increase of Q, the cost of obtaining the same proportion of loans will increase accordingly. Finally, in chapter 4th of this paper, the value of stock pledge loan is obtained by summing up. That is, when the stock price from the two models (geometric Brownian motion and jump diffusion model) of the value of the stock pledge loan, obviously, compared with the two, when the loan amount of the stock pledge loan is the same. The loan value of the latter is higher than that of the former; The relationship between loan amount and loan cost can also be deduced, and the future development of this field is also prospected.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.91;F224

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