跳扩散模型下标准障碍期权定价的推广及应用

发布时间：2018-01-10 03:15

本文关键词：跳扩散模型下标准障碍期权定价的推广及应用　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：期权是风险管理的核心工具,1973年,Blakc和Shcoles建立了著名的期权定价模型一B-S模型,此后,期权定价理论得到迅猛发展。近年来,国际金融衍生市场除了人们熟知的欧式期权和美式期权之外,还涌现出了大量由标准期权变化、组合、派生出的新品种。障碍期权便是新型期权的一种,障碍期权的收益依附于标的资产的价格在一段特定时间内是否达到某个约定的水平。在期权生命期内,若标的资产的价格达到约定的价格(即障碍水平),则期权可能生效或失效。大多数的模型在定价障碍期权时,都假设是在连续的时间上观测标的资产的价格是否达到某一固定的障碍水平,然而在现实中,障碍水平为随机值更能满足投资者规避风险的要求。并且在跳扩散模型中的可变障碍水平的研究也可用于实物期权的估值,从而更加真实的反映某一投资项目的真正价值。本文的主要得到了如下结果：第一,在实际应用中障碍水平恒定不变不利于持有者有效的对冲其特有的风险,所以本文将障碍水平为固定值的假设放宽,讨论在障碍水平为H(1+h)N(?)ert时的障碍期权的定价,即在已有文献的基础上推出了在跳扩散模型中,障碍水平是非固定情况下欧式障碍期权的定价公式及看涨看跌障碍期权的平价公式(call-put parity)。第二,实物期权在实际的应用中越来越广泛,因为传统的对投资决策进行评估的方法缺陷越来越明显,如净现值(NPV)法、叉树法等。本文中所研究的障碍水平可变的障碍期权定价问题,同样可以应用于实际的投资决策中,从而更加有效的评估某一特定投资项目的真实价值。所以本文在最后一部分讨论了障碍水平可变条件下的定价模型在房地产投资决策中的应用。
[Abstract]:Option is the core tool of risk management. In 1973, Blakc and Shcoles established the famous option pricing model-B-S model. Option pricing theory has developed rapidly in recent years, in addition to the well-known European options and American options, the international financial derivatives market has also emerged a large number of changes by the standard options, combinations. Obstacle option is one of the new options. The return of barrier option depends on whether the price of the underlying asset reaches a certain level within a certain period of time. If the price of the underlying asset reaches the agreed price (that is, the barrier level), the option may be effective or invalid. It is assumed that the price of the underlying asset reaches a fixed barrier level over a continuous period of time, however, in reality. The obstacle level is a random value which can meet the risk avoidance requirements of investors. And the study of variable obstacle level in the jump diffusion model can also be used to evaluate the real options. Thus more truly reflect the real value of an investment project. The main results of this paper are as follows: First, in the practical application, the constant barrier level is not conducive to the holder to effectively hedge its unique risk, so the assumption that the barrier level is a fixed value is relaxed in this paper. Discussed at the barrier level for H1 h? The pricing of barrier options at the time of ert, that is, in the jump diffusion model, is derived on the basis of the existing literature. The barrier level is the pricing formula of European barrier options under non-fixed conditions and the parity formula of call put parities. Secondly, the real option is more and more widely used in practice, because the traditional method of evaluating investment decision is more and more obvious, such as net present value (NPV) method. In this paper, the barrier option pricing problem with variable barrier level can also be applied to the actual investment decision. Therefore, in the last part, we discuss the application of pricing model in real estate investment decision under the condition of variable obstacle level.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224

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