Bussiness ManagementMBAstrategyHuman ResourceMarketingHospitalityE-commerceInternational Tradingproject managementmedia managementLogisticsFinanceAccountingadvertisingLawBusiness LawEducationEconomicsBusiness Reportbusiness planresearch proposal
英语论文题目英语教学英语论文商务英语英语论文格式商务英语翻译广告英语商务英语商务英语教学英语翻译论文英美文学英语语言学文化交流中西方文化差异英语论文范文英语论文开题报告初中英语教学英语论文文献综述英语论文参考文献
ResumeRecommendation LetterMotivation LetterPSapplication letterMBA essayBusiness Letteradmission letter Offer letter
澳大利亚论文英国论文加拿大论文芬兰论文瑞典论文澳洲论文新西兰论文法国论文香港论文挪威论文美国论文泰国论文马来西亚论文台湾论文新加坡论文荷兰论文南非论文西班牙论文爱尔兰论文
小学英语教学初中英语教学英语语法高中英语教学大学英语教学听力口语英语阅读英语词汇学英语素质教育英语教育毕业英语教学法
英语论文开题报告英语毕业论文写作指导英语论文写作笔记handbook英语论文提纲英语论文参考文献英语论文文献综述Research Proposal代写留学论文代写留学作业代写Essay论文英语摘要英语论文任务书英语论文格式专业名词turnitin抄袭检查
temcet听力雅思考试托福考试GMATGRE职称英语理工卫生职称英语综合职称英语职称英语
经贸英语论文题目旅游英语论文题目大学英语论文题目中学英语论文题目小学英语论文题目英语文学论文题目英语教学论文题目英语语言学论文题目委婉语论文题目商务英语论文题目最新英语论文题目英语翻译论文题目英语跨文化论文题目
日本文学日本语言学商务日语日本历史日本经济怎样写日语论文日语论文写作格式日语教学日本社会文化日语开题报告日语论文选题
职称英语理工完形填空历年试题模拟试题补全短文概括大意词汇指导阅读理解例题习题卫生职称英语词汇指导完形填空概括大意历年试题阅读理解补全短文模拟试题例题习题综合职称英语完形填空历年试题模拟试题例题习题词汇指导阅读理解补全短文概括大意
论文作者:英语毕业论文论文属性:本科毕业论文 Thesis登出时间:2012-05-23编辑:tinkle点击率:8773
论文字数:7227论文编号:org201205231605117789语种:中文 Chinese地区:英国价格:$ 55
关键词:英语毕业论文SUPERSHARE OPTIONSthe stock price volatilitythe average delivery price
摘要:Options are financial derivatives for avoiding market risk. Many theories and practices show that as long as investors choose reasonable numbers of securities and their derivatives, they will obtain risk-free interest rate which resulting in risk-free returns. This combination depends on the pricing of derivative securities.
英语毕业论文题目:有关期权定价 (老师给的题目这边写不去,我写在补充要求那)
论文语种:英文
您的研究方向:金融数学
是否有数据处理要求:是
您的国家:英国
您的学校背景:英国 莱斯特大学 全英排名15左右
要求字数:10000字左右
论文用途:英语毕业论文
是否需要盲审(博士或硕士生有这个需要):否
补充要求和说明:要用到MATLAB去解中间的一些方程 然后老师给我的确定题目是
(options portfolios evaluations including cash-or-nothing and supershare options,the problem of boundary conditions, using Crank-Nicholson method)
英语毕业论文OPTIONS PORTFOLIOS EVALUATIONS INCLUDING CASH-OR-NOTHING AND SUPERSHARE OPTIONS
ABSTRACT
Options are financial derivatives for avoiding market risk. Many theories and practices show that as long as investors choose reasonable numbers of securities and their derivatives, they will obtain risk-free interest rate which resulting in risk-free returns. This combination depends https://www.51lunwen.org/FinancialMathematics/ on the pricing of derivative securities. This dissertation tries to propose and use an effective researching method to work on any portfolio of European-type options. They are different one another just because they have different payoffs. This dissertation will calculate the price of cash-or-nothing option and supershare option (by changing the final condition), and then summing up the values obtained to deal with a portfolio. That is to say, the portfolio value is the sum of the values of the different types of options. Different methods such as the implicit Euler methods will be discussed and used for empirical analysis and the problem of one factor uncertain volatility converges unconditionally will be studied. Moreover, some plots of the solution based on the data got from numerical software Matlab will be drawn, in order to show an intuitive display of the results. Through a large number of calculations, some changing laws of option price can be got easily, when the stock price volatility and the average delivery price are continuous changing within a certain range. Thus, it’s facilitating further research on option pricing.
TABLE OF CONTENTS
1. Introduction 4
1.1 Background 4
1.2 The basic ideas of option pricing theory 6
1.3 Statement of the problem 7
1.3.1 Research questions 7
1.3.2 Proposed objectives 7
1.4 Structure of the dissertation 8
2. Literature review 9
2.1 The Brownian motion 9
2.2 Ito Process and Ito Formula 11
2.3 Review of the Black-Scholes PDE option pricing model 12
2.4 Monte-Carlo simulation 15
3. Finite Difference Method 17
3.1 Explicit method 18
3.2 Implicit method 19
3.3 Crank–Nicolson method 24
3.4 The problem of boundary conditions 25
3.5 Application of implied volatility 26
4. Application of the framework to Cash-or-nothing and Supershare options 29
4.1 Cash-or-Nothing options 29
4.2 Asset-or-Nothing options 31
4.3 Supershares 32
5. Numerical experiments results of European call option prices 36
5.1 Results of European vanilla options 37
5.1.1 Equidistant grids 37
5.1.2 Plots of option price of a call 39
6. Conclusion 42
6.1 Researching Results for the Research Questions 42
6.2 Limitations 42
Reference 44
Appendix A. Notations used in this dissertation 46
1. Introduction
1.1本论文由英语论文网提供整理,提供论文代写,英语论文代写,代写论文,代写英语论文,代写留学生论文,代写英文论文,留学生论文代写相关核心关键词搜索。