基于帶跳布朗運(yùn)動(dòng)的股票型期權(quán)投資組合問(wèn)題研究.pdf

1、摘要本文選取股票作為歐式期權(quán)的隱含資產(chǎn)，假定該隱含資產(chǎn)服從帶跳布朗運(yùn)動(dòng)，并以均值方差模型和CVaR模型作為風(fēng)險(xiǎn)度量工具，進(jìn)而研究歐式期權(quán)的投資組合問(wèn)題。由于期權(quán)價(jià)格與其標(biāo)的資產(chǎn)價(jià)格問(wèn)的函數(shù)關(guān)系是非線性的，致使在計(jì)算期權(quán)投資組合的收益和方差時(shí)比較困難，為此我們用DeltaGamma對(duì)其進(jìn)行近似，并最終將投資組合的優(yōu)化問(wèn)題轉(zhuǎn)化為二次規(guī)劃問(wèn)題。最后我們選取香港股票市場(chǎng)的數(shù)據(jù)對(duì)本文方法做了實(shí)證研究和對(duì)比。關(guān)鍵詞：布朗運(yùn)動(dòng)復(fù)合泊松過(guò)程歐式期權(quán)均值

2、方差模型CVaR模型DeltaGamma方法投資組合AbstractInordertesearchtheportfolioproblemofEuropeanStockOption，wechoosestockasitsunderlyingassetandwesupposeitobeysBrownianMotion、Ⅳimjump，wealsouseMean謅灑anceModelandMeanC％暇Mode，tomeasureitsretu

3、rnandriskHowever，itisdifficultforUStocalculatethemeanandvarianceofourportfoliobecausethemappingbetweenoptionpriceandthepriceofitsdelayingassetisnonlinearSo，weuseDelta—GammamethodtogetitsapproximationThen，wecantransferthe

4、optimizationproblemofourportfoliotoquadraticproblemAtlast，wechoosethedatafromHKExandgetsomeempiricalstudiesKeyword：BrownianMotion，CompoundPossionProcess，EuropeanOption，MeanⅥlrialiceModelCVaRModel，Delha—GammaMethod，Pottle

5、llio!)4CVaR3155優(yōu)化問(wèn)題31第六章實(shí)證結(jié)果3261均值一方差模型的實(shí)證結(jié)果33611基于布朗運(yùn)動(dòng)的股票型期權(quán)投資組合實(shí)證結(jié)果34612基于帶跳布朗運(yùn)動(dòng)的股票型投資組合模擬結(jié)果36613不帶跳和帶跳方法實(shí)證結(jié)果的對(duì)比及分析3862均值CVaR模型的實(shí)證結(jié)果34621基于布朗運(yùn)動(dòng)的股票型期權(quán)投資組合的實(shí)證結(jié)果40622基于布朗運(yùn)動(dòng)的股票型期權(quán)投資組合的實(shí)證結(jié)果～42623不帶跳和帶跳方法實(shí)證結(jié)果的對(duì)比及分析44第七章綜述46參