期權(quán)定價理論中的組合數(shù)學(xué)模型研究及應(yīng)用.pdf

1、分類號：0157y890125單位代碼：】0005學(xué)號：s200306030密級：北京工業(yè)大學(xué)碩士學(xué)位論文題目甥褪塞儉理迨蟲的緝金數(shù)堂攫型硒窒星座旦英文并列題目△殮盟魚盟d△衛(wèi)P!i￡塹豳魚!縫￡Q皿b地盤亙箜№盤垃Q￡I墜!Q匹iQ里里丑gi盟g：!墜曼壘d——研究生姓名：奎盅速——專業(yè)：垂簦堂量控型j魚一研究方向：遷簋塑盒塑堂壁友逵途導(dǎo)師姓名：團蠢丑職稱：副敦援論文報告提交日期越強生5日授予單位名稱和地址jE壺王些盍芏(韭直直鲴圈區(qū)

2、堊垂國!塑呈≥北京工業(yè)大學(xué)理學(xué)碩士學(xué)位論文Abs訂act1111973，Itbegan吐lerev01mionofmodemoptionp矗cingt11eo阱FischerB1ackandMyronSch01espublishedt11epaper砌e丹fcf餾D廠印踟nsd以dCDpor以把三f口6玎f打PJin1973Underaseriesofstricthypothesis，7nleygotaoptionpricingmode

3、lcalledBlack—scholesmodel(Bsmodelforshor。withrigorousdiscursionandargumemation，Whichbec鋤eagreatproductionofoptionpricing血eor)，TheclouofB—Smodelist11atsupposeweknow也e脅edis仃ibutingofstockpricing，t11enwefomlaportfoliocomain

4、jngstockandrisHessbondstocopytheprofitofoptiontoavoidriskSomeoptionpriceequatesmecopycostLater，optionpricingt11eoryhasquiet伊eatdevelopmentIn1979，Cox，RossaIldRubinsteingotmcBinoInialOptionPricingModelwhichisoneofthebestmo

5、delsofderivativespricingAndt11eypmvedt11atmeB—Smodelwas恤1im“fomof恤BinomialOption蹦cingModelnme黜也atBinornial0ptionPricingModelisrnoregeneralthanBSmodelWecansaythatifwemastert11efLlndamentaloft11eBino血alO砸onPricingModelitme

6、answeget也e1abFinmkeysofcoInplexoptionSa工ldderivatiVesIn也ep印er，1willbringforwardageneralizationfomofBinomial0ptionPricingModel，M11ltinomial0ptionPricingModelThe廿lirlkingofmultinomialmodelderivesfromUmModelofCombinatoricsW

7、iththeUmModel，wecangetBinomialmeorem甜ldMhltino血altheoremWeknowBinomialmeoremcorre印ondsBinomialOptionPricingModel，fromwhichIgetsuggestthatisIcreate血eMmtinomialOptionPricingModelwithMultino武a1也eoremandBinomialOptionPricing

8、Model_1kMultinornialOptionPricingModelisjustforE11ropeanoption，血enIthinktheⅢ血。血al0ptionPricingModelforAmericanoption、Ⅳi11beagoodsubjectforresearchKeywords：option，BSmodeI，Binomial0ptionPricingModel，MultinomialOptionPricin