本文關(guān)鍵詞：亞式期權(quán)定價(jià)的比較研究　出處：《華中師范大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 期權(quán) 亞式期權(quán) 幾何平均 算術(shù)平均 定價(jià)

【摘要】：亞式期權(quán),它是由美國一家信托公司(Bankers Trust)在歐式期權(quán)的基礎(chǔ)上提出的一種創(chuàng)新,首次出現(xiàn)在二十世紀(jì)九十年代的日本東京。它作為當(dāng)今金融市場上交易最活躍、應(yīng)用最廣泛的一種強(qiáng)路徑依賴型期權(quán),因其價(jià)格便宜、易于風(fēng)險(xiǎn)控制、利于套期保值等方面的優(yōu)勢,深受投資者與管理者的喜愛。自2008年全球風(fēng)暴以來,風(fēng)險(xiǎn)管理與控制再一次成為世界關(guān)注的焦點(diǎn),人們對亞式期權(quán)的關(guān)注也隨之提升了一個(gè)層次,其定價(jià)問題也逐漸成為衍生品資產(chǎn)定價(jià)研究的熱點(diǎn)之一。 本文主要研究離散型固定敲定價(jià)歐式亞式期權(quán)的定價(jià)問題,首先概述了期權(quán)定價(jià)的預(yù)備知識,然后分別為離散型幾何平均亞式期權(quán)和離散型算術(shù)平均亞式期權(quán)定價(jià)。對于離散型幾何平均亞式期權(quán),若標(biāo)的資產(chǎn)價(jià)格服從對數(shù)正態(tài)分布,由于一系列對數(shù)正態(tài)分布的幾何平均值仍為對數(shù)正態(tài)分布,從而可迅速得出幾何平均亞式期權(quán)定價(jià)公式的解析解；對于離散型算術(shù)平均亞式期權(quán),由于算術(shù)平均后的資產(chǎn)價(jià)格不再服從對數(shù)正態(tài)分布,不能直接利用Black-Scholes公式,其定價(jià)公式也只能近似給出,本文分別用均值關(guān)系近似定價(jià)、泰勒展開近似定價(jià)、Monte Carlo模擬、漸進(jìn)差異近似定價(jià)這四種方法來探討算術(shù)平均亞式期權(quán)近似定價(jià)公式。最后通過Matlab軟件編寫程序?qū)ι鲜龈鞣N定價(jià)方法進(jìn)行實(shí)證分析與比較,進(jìn)而對各種定價(jià)方法做了總結(jié)與分析。
[Abstract]:Asian option, which is composed of an American trust company (Bankers Trust) is a kind of innovation is proposed on the base of European option, first appeared in Japan in 1990s in Tokyo. As the most active financial market transactions, a kind of strong path dependent options are the most widely used, because of its cheap price, easy to for risk control, hedging and other advantages, favored by investors and managers alike. Since 2008 the global crisis, risk management and control once again become the focus of the world, people of Asian options concern will upgrade to the next level, the pricing problem has gradually become a hot research topic in asset pricing derivatives.
This paper mainly studies the pricing problem of discrete fixed strike European style Asian option pricing, firstly summarizes the preliminary knowledge of option pricing, and then discrete geometric average Asian options and the discrete arithmetic average Asian option pricing. For the discrete geometric average Asian option, if the price of the underlying asset follows the lognormal distribution due to a series of geometry, the lognormal distribution is the average value of the lognormal distribution, which can be quickly obtained analytic geometric average Asian option pricing formula of the solution; for the discrete arithmetic average Asian options, because the arithmetic average asset prices no longer obeys the lognormal distribution, the Black-Scholes formula can not be applied directly, the only the approximate pricing formula is given in this paper, with the mean relation of approximate valuation, Taylor approximation pricing, Monte Carlo simulation, the difference of the four incremental approximate pricing method The approximate pricing formula of arithmetic average Asian option is discussed. Finally, the above pricing methods are empirically analyzed and compared by Matlab software programming, and the various pricing methods are summarized and analyzed.

【學(xué)位授予單位】：華中師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F830.9

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 孫堅(jiān)強(qiáng),李時(shí)銀;離散算術(shù)平均亞式期權(quán)近似定價(jià)[J];廈門大學(xué)學(xué)報(bào)(自然科學(xué)版);2003年04期

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本文編號：1418303