發(fā)布時間：2018-03-11 15:45

  本文選題：期貨期權(quán)　切入點(diǎn)：破產(chǎn)概率　出處：《哈爾濱師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：本文主要內(nèi)容分為兩部分,第一部分設(shè)計(jì)了一種有利于林木企業(yè)融資的金融衍生品:一類遠(yuǎn)期啟動的林木期貨期權(quán),并建立了數(shù)學(xué)模型及給出了相應(yīng)的定價(jià)公式.第二部分對林木企業(yè)進(jìn)行了風(fēng)險(xiǎn)分析,建立了企業(yè)的破產(chǎn)模型并給出了破產(chǎn)概率的近似表達(dá)式,然后利用VaR方法給出了相應(yīng)的對策. 第一部分中的期權(quán)定價(jià)是在林木期貨合約的價(jià)格服從幾何布朗運(yùn)動假定條件下,利用Girsanov定理構(gòu)造出與原市場測度等價(jià)的測度并證明了該測度是風(fēng)險(xiǎn)中性的.進(jìn)而運(yùn)用期權(quán)定價(jià)鞅方法,給出模型中期權(quán)定價(jià)的表達(dá)式,然后又轉(zhuǎn)化為遠(yuǎn)期啟動期權(quán)價(jià)格表達(dá)式.林木企業(yè)可以通過這一期權(quán)更好地融資,得到更多的經(jīng)營資金. 第二部分中,利用了精算數(shù)學(xué)中的破產(chǎn)理論對林木企業(yè)進(jìn)行了風(fēng)險(xiǎn)分析,考慮到森林火災(zāi)、雪災(zāi)等極端情況,用厚尾分布描述林木企業(yè)可能的損失,結(jié)合更新理論,在考慮利率的情況下,建立了林木企業(yè)的常利力更新風(fēng)險(xiǎn)模型并通過該模型給出了企業(yè)的破產(chǎn)概率的近似表達(dá)式.最后利用VaR方法對于估計(jì)出的破產(chǎn)概率給出了相應(yīng)的應(yīng)對方案.有利于林木企業(yè)的安全持續(xù)經(jīng)營.風(fēng)險(xiǎn)管理對于林木企業(yè)的管理有著重要的作用.
[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.
【學(xué)位授予單位】：哈爾濱師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.9;F224

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本文編號：1598833