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论文作者:留学生论文论文属性:硕士毕业论文 thesis登出时间:2013-07-10编辑:anne点击率:8395
论文字数:9620论文编号:org201307101547076169语种:英语 English地区:英国价格:$ 132
关键词:university of manchesterMaster DissertationPath Dependent British Options
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。
Option is one of successful examples of innovation practice in financial markets and it contributes a lot to the development of financial theory. British option is a new class of early-exercise option that provide its holder with an inherent protection mechanism to realize the `best prediction' assuming the real drift of the stock price equals the contract drift. British option can provide its holder a protection mechanism against unfavorable prices change and bring high returns from favorable prices change. British option addresses liquidity and return completely endogenously. After the introduction of some famous option pricing models, such as the Black-Scholes option pricing model, extensions of Black-Scholes option pricing model and the unified Black-Scholes model for strong path dependent options, this paper focuses on the British Asian option and the British Russian option. The arbitrage-free price, rational exercise boundary and nonlinear integral equation of Financial Mathematics the path dependent British option are all discussed in this paper.选择权是一种创新实践中成功的例子,在金融市场和金融理论的发展作出了巨大贡献。英国的选择是一类新的早期行使购股权,其持有人具有内在的保护机制来实现'最佳预测假设的股票价格真正的漂移等于合同漂移。英国选项可以其持有人提供一个保护机制,防止不利的价格变化,从有利的价格变化带来高回报。英国的方案解决流动性和内源性完全恢复。出台后,一些著名的期权定价模型,如Black-Scholes期权定价模型,Black-Scholes期权定价模型的扩展和统一的强烈的路径依赖期权的Black-Scholes模型,本文侧重于英国亚洲选项,英国俄罗斯选项。所有本文中讨论的无套利价格,合理的行使边界和非线性积分方程的路径依赖英国选项。
1.1 Background information
With the rapid development of financial markets and various financial products, more and more investors are involved in derivatives trading. The advantages of low cost, flexible pricing methods and powerful leverage effect make the financial derivatives popular in meeting the demands of different risk preferences and effectively hedge investors’ position. In mature financial markets such as European financial market and U.S. financial market, the financial derivatives are trading frequently and the value they created is growing exponentially. Of which, the contribution of option products is significant. Option is an important financial derivative. In many developed countries, the options market is an important component of the securities market. Stock options, stock index options, currency options and currency options all have great performance.在成熟的金融市场,如欧洲金融市场和美国金融市场,金融衍生品交易频繁,他们创造的价值成倍增长。其中,期权产品的贡献是显着的。期权是一种重要的金融衍生工具。在许多发达国家,期权市场是证券市场的重要组成部分。所有股票期权,股票指数期权,外汇期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。