林木期货期权定价及林木企业风险分析

发布时间：2018-03-11 15:45

本文选题：期货期权　切入点：破产概率　出处：《哈尔滨师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文主要内容分为两部分,第一部分设计了一种有利于林木企业融资的金融衍生品:一类远期启动的林木期货期权,并建立了数学模型及给出了相应的定价公式.第二部分对林木企业进行了风险分析,建立了企业的破产模型并给出了破产概率的近似表达式,然后利用VaR方法给出了相应的对策. 第一部分中的期权定价是在林木期货合约的价格服从几何布朗运动假定条件下,利用Girsanov定理构造出与原市场测度等价的测度并证明了该测度是风险中性的.进而运用期权定价鞅方法,给出模型中期权定价的表达式,然后又转化为远期启动期权价格表达式.林木企业可以通过这一期权更好地融资,得到更多的经营资金. 第二部分中,利用了精算数学中的破产理论对林木企业进行了风险分析,考虑到森林火灾、雪灾等极端情况,用厚尾分布描述林木企业可能的损失,结合更新理论,在考虑利率的情况下,建立了林木企业的常利力更新风险模型并通过该模型给出了企业的破产概率的近似表达式.最后利用VaR方法对于估计出的破产概率给出了相应的应对方案.有利于林木企业的安全持续经营.风险管理对于林木企业的管理有着重要的作用.
[Abstract]:The main content of this paper is divided into two parts. In the first part, we design a kind of financial derivative which is favorable to the financing of forest enterprises. In the second part, the risk analysis of forest enterprises, the bankruptcy model of enterprises and the approximate expression of ruin probability are given. Then the corresponding countermeasures are given by using VaR method. The option pricing in the first part is based on the assumption of geometric Brownian motion for the price of forest futures contracts. A measure equivalent to the original market measure is constructed by using Girsanov theorem, and it is proved that the measure is risk-neutral. Furthermore, the expression of option pricing in the model is given by using the option pricing martingale method. Then it is transformed into the price expression of forward start option, through which forest enterprises can better raise funds and get more operating funds. In the second part, we use the ruin theory in actuarial mathematics to analyze the risk of forest enterprises. Considering the extreme situations such as forest fire and snow disaster, we use the thick tail distribution to describe the possible losses of forest enterprises, and combine with the renewal theory. Considering interest rates, In this paper, the renewal risk model of common interest of forest enterprises is established, and the approximate expression of ruin probability is given through this model. At last, the corresponding solutions to the estimated ruin probability are given by using VaR method. Risk management plays an important role in the management of forest enterprises.
【学位授予单位】：哈尔滨师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.9;F224

【参考文献】