摘要:随着金融市场和各类金融产品的迅速发展,越来越多的投资者参与衍生品交易。的优点在于成本低,灵活的定价方式和强大的杠杆效应,使流行的金融衍生产品,满足不同风险偏好的需求,并有效地规避投资者的立场。
权和货币期权有很大的性能。
Since Black and Scholes put forward the option pricing formula in 1973, the option pricing has been an important issue in
financial mathematics and econometrics. In the past 30 years, the research on option pricing theory and its application have got a great deal of attention. The pricing principles, pricing methods and the conclusions derived from financial options theory can not only used in the options area, but also in the analysis and decision-making process of Macro
Economics, Micro
Economics and management issues. The Royal Swedish Academy of
Sciences 1997 Nobel Economics Prize was awarded to two economists with outstanding contributions to modern option theory: Robert C. Merton and Myron S. Scholes, which indicates the recognition of the importance of the options theoretical research and practical application around the world.由于Black和Scholes在1973年提出了期权定价公式,期权定价一直是金融数学和计量经济学的一个重要问题。在过去的30年里,期权定价理论及其应用的研究已经得到了极大的关注。的定价原则,定价方法和得出的结论,从金融期权理论,不仅可以在选项区域中使用,但在分析和决策过程中的宏观经济学,微观经济学和管理问题。瑞典皇家科学院现代期权理论的杰出贡献:罗伯特·C·默顿和迈伦·斯科尔斯,这表明的重要性,确认选择的理论研究和实际应用,围绕科学1997年诺贝尔经济学奖授予两位经济学家世界各地。
The financial derivatives market is an advanced form of the financial markets. The vigorous development of the derivatives market will bring more confidence and opportunities for investors in financial markets. What’s more, a successful options market is helpful in reducing the systemic risk. Therefore, the rational pricing of options becomes an important issue.金融衍生产品市场是金融市场的一种高级形式。衍生产品市场的蓬勃发展,将在金融市场上的投资者带来更多的信心和机会。更重要的是,一个成功的期权市场有助于降低系统性风险。因此,选择合理的定价成为一个重要问题。
In recent years, financial engineers have designed a new variety of options with different characteristics based on standards options contracts and options theory and analysis method. These new options are called as exotic options. Exotic options have been rapidly developed in late 1980s and become more important in the early 1990s. The exotic options are non-standard options derived from the standard options and are often traded in the OTC market. Some of the exotic options are path dependent options, which mean the price of an option depends not only on the price of the underlying asset on the maturity date, but also on the path of the underlying asset price changes. Scientific pricing for exotic options are important because it can promote the prosperity and stability of the stock market. Exotic option pricing itself is also an important area in option theory. Compared to the standard options, the pricing of exotic options is much more complex and further study is necessary.近年来,金融工程师们设计了一个新品种的选择标准期权合约及期权的理论和分析方法的基础上有不同的特点。这些新的选项被称为奇异期权。奇异期权已在20世纪80年代后期迅速发展,在20世纪90年代初变得更加重要。奇异期权是来自标准选项非标准选项,并经常在场外交易市场交易。一些异国情调的选项是路径依赖的选项,这意味着期权价格不仅取决于相关资产价格在到期日,同时也对相关资产价格变动的路径。科学奇异期权定价非常重要,因为它可以促进股市的繁荣和稳定。异国情调的期权定价本身也是期权理论的一个重要领域。相比标准选项,奇异期权的定价更为复杂,进一步的研究是十分必要的。
References
Amester P., Averbuj, C.G. and Mariani, M.C., 2003. Stationary Solutions for Two Nonlinear Black-Scholes Type Equations. Applied Numerical Mathematics, 47(3), pp.275-280.
Bachelier L., 1900. Theorie de la Speculation. Coonter P H. Annales Delecole Normal Superieure.
Black, F. and Scholes, M.S., 1973. The Pricing of Options and Corporate Liabilities. Journal of Political Economy, 83, pp. 637-659.
Carr, P. and Chesney, M., 1996. American Put Call Symmetry. Working Paper 13/
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