支付連續(xù)紅利率股票的幾何平均亞式期權(quán)定價(jià).pdf

1、南京師范大學(xué)碩士學(xué)位論文支付連續(xù)紅利率股票的幾何平均亞式期權(quán)定價(jià)姓名：翁琴申請學(xué)位級別：碩士專業(yè)：數(shù)學(xué)運(yùn)籌學(xué)與控制論指導(dǎo)教師：劉國祥20090426AbstractAbstractClassicalBlackScholesmodelprovidedthefoundationofmodernoptionpricingthey.HowevertherearefiveimptanthypothesisinBlackScholesoptionp

2、ricingtheywhichoftendifferfromthereality.TheBSmodelassumesthatduringtheusefullifeoftheoptiontherisklessinterestratetheyieldthevolatilityofthefinancialassetsareallconstantbutintherealmarkettheseparametersusuallychangewith

3、thetimeTheBSmodelalsoassumesthatduringtheusefullifeoftheoptionthefinancialassethasnocapitalbonusotherincomebutintherealmarketmostfinancialassetssendcapitalbonusTheBSmodelstillassumestheoptionisEuropeanOptionwhilethereare

4、abundantAmericanOptionAsianOption.IndertoavoidthedrawbackintheBSmodelweassumethat:thefinancialassetisstockwithconsecutivecapitalbonusratethenoriskinterestratetheyieldthevolatilityofthefinancialassetsareallcertainfunction

5、softhetime.WemainlyuseIt?ofmulathemethodofmartingalethetransfmofthemeasuretoinvestigatethepricingfmulaofgeometricaverageAsianOptionwhoseunderlyingassetisstockwithconsecutivecapitalbonusrate.Finallywerespectivelyconcludet

6、hepricingofthecalltheputGeometricAverageAsianOptionatanyvalidtimeundertwostyleswhenthestrikepriceisfixedfloatingatthesametimewealsoconcludetheparityrelationbetweenthecalltheputAsianOption.Keywds:themethodofmartingalethet