【摘要】：期權(Option)又稱選擇權,它最早是從股票期權交易開始的,直到20世紀80年代才有外匯期權產(chǎn)生。第一批外匯期權是英鎊期權和德國馬克期權,由美國費城股票交易所于1982年承辦,它是已建立的股票期權交易的變形。外匯期權買賣是近年來興起的一種交易方式,它是原有的幾種外匯保值方式的發(fā)展和補充。它既為客戶提供了外匯保值的方法,又為客戶提供了從匯率變動中獲利的機會,具有較大的靈活性。外匯期權的產(chǎn)生歸因于兩個重要因素：國際金融市場日益劇烈的匯率波動和國際貿(mào)易的發(fā)展。隨著20世紀70年代初期布雷頓森林貨幣體系危機的出現(xiàn)到最終崩潰,匯率波動越來越劇烈。同時,國際間的商品與勞務貿(mào)易也迅速增長,越來越多的交易商面對匯率變動甚劇的市場,尋求避免外匯風險更為有效的途徑。 全文共包括六個章節(jié)：第一章闡述本文的選題意義以及創(chuàng)新點；第二章是文獻綜述,文中詳細介紹了期權定價的各種已有成熟定價理論,并分析、比較了各種理論在實際應用中的優(yōu)缺點；第三章是分析外匯期權定價原理,并且選出了外匯期權定價的幾個重要因素；第四章是文章的理論部分,介紹了綜合模糊分析方法的理論和工具等；第五章是外匯期權定價分析,按照本文所提方法,通過選取各個因素指標、計算權重,并對各個影響因素指標賦值,匯總得出數(shù)值結(jié)果,給出價格趨勢結(jié)論；最后一章是文章的總結(jié)。
[Abstract]:Option (Option), also known as option, first began with stock option trading and did not have foreign exchange options until the 1980s. The first foreign exchange options were sterling options and German mark options, which were undertaken by the Philadelphia Stock Exchange in 1982 and are the deformation of established stock options trading. Foreign exchange option trading is a kind of trading mode rising in recent years, which is the development and supplement of several original foreign exchange preservation methods. It not only provides customers with the method of foreign exchange preservation, but also provides customers with the opportunity to profit from exchange rate changes, and has greater flexibility. The emergence of foreign exchange options is attributed to two important factors: the increasingly violent exchange rate fluctuations in the international financial market and the development of international trade. With the emergence of the Bretton Woods monetary system crisis in the early 1970 s and the final collapse, the exchange rate fluctuated more and more violently. At the same time, international trade in goods and services is also growing rapidly, and more dealers are looking for more effective ways to avoid foreign exchange risks in the face of exchange rate fluctuations. The full text consists of six chapters: the first chapter expounds the significance and innovation of this paper; the second chapter is a literature review, which introduces in detail all kinds of mature pricing theories of option pricing, and analyzes and compares the advantages and disadvantages of various theories in practical application. The third chapter is to analyze the principle of foreign exchange option pricing and select several important factors of foreign exchange option pricing. The fourth chapter is the theoretical part of the article, which introduces the theory and tools of the comprehensive fuzzy analysis method; the fifth chapter is the foreign exchange option pricing analysis, according to the method proposed in this paper, through the selection of each factor index, calculate the weight, and assign the value of each influencing factor index, summarize the numerical results, give the conclusion of the price trend; the last chapter is the summary of the article.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F830.9;F224

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