歐式看跌期權(quán)的實(shí)證研究及帶紅利美式看跌期權(quán)的定價(jià).pdf

1、 獨(dú) 創(chuàng) 性 聲 明 本人聲明所呈交的學(xué)位論文是本人在導(dǎo)師指導(dǎo)下進(jìn)行的研究工作及取得的研究成果.除了文中特別加以標(biāo)注和致謝的地方外,論文中不包含其他人已經(jīng)發(fā)表或撰寫(xiě)過(guò)的研究成果,也不包含為獲得 暨南大學(xué) 暨南大學(xué) 或其他教育機(jī)構(gòu)的學(xué)位或證書(shū)而使用過(guò)的材料.與我一同工作的同志對(duì)本研究所做的任何貢獻(xiàn)均已在論文中作了明確的說(shuō)明并表示謝意. 學(xué)位論文作者簽名： 簽字日期： 年 月 日 學(xué)位論文版權(quán)使用授權(quán)書(shū)

2、 學(xué)位論文版權(quán)使用授權(quán)書(shū) 本學(xué)位論文作者完全了解 暨南大學(xué) 暨南大學(xué) 有關(guān)保留、使用學(xué)位論文的規(guī)定,有權(quán)保留并向國(guó)家有關(guān)部門(mén)或機(jī)構(gòu)送交論文的復(fù)印件和磁盤(pán),允許論文被查閱和借閱.本人授權(quán) 暨南大學(xué) 暨南大學(xué) 可以將學(xué)位論文的全部或部分內(nèi)容編入有關(guān)數(shù)據(jù)庫(kù)進(jìn)行檢索,可以采用影印、縮印或掃描等復(fù)制手段保存、匯編學(xué)位論文. （保密的學(xué)位論文在解密后適用本授權(quán)書(shū)） 學(xué)位論文作者簽名： 導(dǎo)師簽名： 簽字日

3、期： 年 月 日 簽字日期： 年 月 日 學(xué)位論文作者畢業(yè)后去向： 工作單位： 電話(huà)： 通訊地址： 郵編： 暨南大學(xué)碩士學(xué)位論文 暨南大學(xué)碩士學(xué)位論文 II Abstract In the study of options, the most innovative work goes

4、 to Black and Scholes, who derived famous Black-Scholes (B-S) option Pricing equation in1973[1]. After1973,many scholars did a great deal of work, including the studies of nonlinear B – S equation or the extensions of B

5、– S equation which are more close to the real situation. The domestic research about option started later, most of the researchers are based on the B – S model (for example [2-6]). Based on the research results of domest

6、ic and foreign, in this paper, firstly we will use the market data of Hong Kong's heng seng index options to test the classic (B-S) model, the main work goes to the analysis and calculation of the implied volatility

7、and the actual volatility, as well as the calculation of the theoretical price and the actual price of the option. The experimental results verify that B - S model is efficient for market.Then we get the theoretical pric

8、e of American put options about WMT and MCD stock by Crank- Nicolson difference scheme. Finally we will consider American put options with dividends which is in the form of variational inequality equation[7] ,we use the

9、finite difference method to make the American put option with dividends pricing model discretize into difference equations, and obtain the explicit difference schemes. The numerical experiments verify that the finite dif

10、ference schemes is efficient. On this basis, we propose the splitting method to solve American put options, and transform the American put option into a free boundary problem of ordinary differential equations. We solve

11、the American option by using the free boundary and the connection conditions, and then we can acquire the mathematical expressions of pricing the American option with dividends. Keywords: B-S equation; American put opti