歐式巨災(zāi)任選股票期權(quán)定價及其對沖
發(fā)布時間：2018-12-31 16:54
【摘要】：巨災(zāi)風險是指突發(fā)性、不可預(yù)料、無法回避而且危害性極大的自然災(zāi)難性事件所產(chǎn)生的風險.近幾十年來,世界范圍內(nèi)自然災(zāi)害(地震、海嘯、颶風、水旱災(zāi)、泥石流等)頻繁發(fā)生,給人類帶來極大的生命和財產(chǎn)損失,損失爆發(fā)的頻率和嚴重程度以驚人的速度上升.由此引發(fā)的巨額保險賠付讓傳統(tǒng)的保險經(jīng)營方式承受著極大的挑戰(zhàn),制約了保險業(yè)的發(fā)展.巨災(zāi)期權(quán)是一種保險風險轉(zhuǎn)移的金融工具,他利用風險證券化將保險市場與證券市場有效結(jié)合,用資本市場的實力來分散(再)保險公司的巨災(zāi)風險,使金融、保險實現(xiàn)一體化. 盡管巨災(zāi)期權(quán)或巨災(zāi)股票期權(quán)深受保險業(yè)和投資者的喜愛,但是他們并沒有在市場上很好的發(fā)展起來,究其原因主要是難以準確定價期權(quán)合約,以及供投資者選擇的證券化產(chǎn)品數(shù)量不足.基于此,本文通過引入一類新型的巨災(zāi)任選股票期權(quán),并研究其定價與風險管理問題,主要內(nèi)容有： 第二章在常數(shù)利率條件下假設(shè)巨災(zāi)損失總額滿足復(fù)合Poisson過程,以及市場股票價格滿足幾何布朗運動的情形下,研究巨災(zāi)簡單任選期權(quán)和復(fù)雜任選期權(quán)的定價,給出了他們的定價公式和對沖避險策略.在假定巨災(zāi)損失額服從正態(tài)分布的條件下進一步給出巨災(zāi)任選期權(quán)的評價,以及數(shù)值計算了風險發(fā)生頻率入,巨災(zāi)損失參數(shù)θ,δ對期權(quán)合約的影響. 第三章在隨機利率條件下研究巨災(zāi)簡單任選期權(quán)和復(fù)雜任選期權(quán)的定價問題,應(yīng)用遠期測度變換方法給出了巨災(zāi)任選股票期權(quán)的顯示解,并在利率滿足Vasicek模型下分析了利率模型中各參數(shù)值變動對期權(quán)價格的影響. 第四章總結(jié)了本文的主要工作及有待進一步研究的問題.
[Abstract]:Catastrophe risk refers to the risk caused by sudden, unpredictable, unavoidable and extremely harmful natural catastrophic events. In recent decades, natural disasters (earthquakes, tsunamis, hurricanes, water droughts, mudslides, etc.) occur frequently in the world, which bring great loss of life and property to human beings, and the frequency and severity of loss increases at an alarming speed. The huge amount of insurance indemnity caused by this makes the traditional insurance management way bear great challenge, which restricts the development of insurance industry. Catastrophe option is a kind of financial tool for insurance risk transfer. It uses risk securitization to effectively combine insurance market with securities market, distributes (re-) the catastrophe risk of insurance company with the strength of capital market, and makes finance, Insurance is integrated. Although catastrophe options or catastrophe stock options are popular among insurance and investors, they are not well developed in the market, mainly because of the difficulty in accurately pricing options contracts. And the number of securitisation products for investors to choose from. Based on this, this paper introduces a new type of catastrophe optional stock options, and studies its pricing and risk management problems. The main contents are as follows: the second chapter assumes that the total amount of catastrophe loss satisfies the compound Poisson process under the condition of constant interest rate. Under the condition that the market stock price satisfies the geometric Brownian motion, the pricing of catastrophe simple optional option and complex optional option is studied, and their pricing formula and hedging strategy are given. Under the assumption that the catastrophe loss amount is normal distribution, the evaluation of catastrophe optional option is further given, and the influence of risk frequency input, catastrophe loss parameter 胃, 未 on the option contract is numerically calculated. In chapter 3, we study the pricing problem of catastrophe simple option and complex option under the condition of random interest rate, and give the display solution of catastrophe optional stock option by using the method of forward measure transformation. And under the Vasicek model of interest rate satisfaction, the influence of the change of each parameter value on the option price is analyzed in the interest rate model. The fourth chapter summarizes the main work of this paper and the problems to be further studied.
【學(xué)位授予單位】：廣西師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F830.9
本文編號：2396860
[Abstract]:Catastrophe risk refers to the risk caused by sudden, unpredictable, unavoidable and extremely harmful natural catastrophic events. In recent decades, natural disasters (earthquakes, tsunamis, hurricanes, water droughts, mudslides, etc.) occur frequently in the world, which bring great loss of life and property to human beings, and the frequency and severity of loss increases at an alarming speed. The huge amount of insurance indemnity caused by this makes the traditional insurance management way bear great challenge, which restricts the development of insurance industry. Catastrophe option is a kind of financial tool for insurance risk transfer. It uses risk securitization to effectively combine insurance market with securities market, distributes (re-) the catastrophe risk of insurance company with the strength of capital market, and makes finance, Insurance is integrated. Although catastrophe options or catastrophe stock options are popular among insurance and investors, they are not well developed in the market, mainly because of the difficulty in accurately pricing options contracts. And the number of securitisation products for investors to choose from. Based on this, this paper introduces a new type of catastrophe optional stock options, and studies its pricing and risk management problems. The main contents are as follows: the second chapter assumes that the total amount of catastrophe loss satisfies the compound Poisson process under the condition of constant interest rate. Under the condition that the market stock price satisfies the geometric Brownian motion, the pricing of catastrophe simple optional option and complex optional option is studied, and their pricing formula and hedging strategy are given. Under the assumption that the catastrophe loss amount is normal distribution, the evaluation of catastrophe optional option is further given, and the influence of risk frequency input, catastrophe loss parameter 胃, 未 on the option contract is numerically calculated. In chapter 3, we study the pricing problem of catastrophe simple option and complex option under the condition of random interest rate, and give the display solution of catastrophe optional stock option by using the method of forward measure transformation. And under the Vasicek model of interest rate satisfaction, the influence of the change of each parameter value on the option price is analyzed in the interest rate model. The fourth chapter summarizes the main work of this paper and the problems to be further studied.
【學(xué)位授予單位】：廣西師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F224;F830.9
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