基于資產價的幾何平均的多風險極值期權的定價.pdf

1、廈門大學碩士學位論文基于資產價的幾何平均的多風險極值期權的定價姓名：柳維芳申請學位級別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計指導教師：李時銀20090601AbstractMathematicalfinanceandfinancialengineeringhavebeenrapidlyexpandingfieldsofscienceoverthepastthreedecadesThemainreasonbehindthisphenomenonis

2、thesuccessofsophisticatedquantitativemethod0109iesinhelpingprofessionalsmanagesfinancialrisksWiththedeepeningoffinancialreform，thedemandforfinancialproductshasbeenincreasingdaybydayBesides，designingandpricingoffinancialp

3、roductshavebecomeimportanttopicsinthefieldoffinanceProductdesignisaprocessofmatchingandconstructingvariousriskcharacteristicsofsecuritiesinordertoachievesomeintendedobjectivesAftertheprocessofproductdesign，reasonablepric

4、ingisnecessarytoensureaviableproductAbundantfinancialproducts，ontheonehand，makethemarketbecomecomplete：Ontheotherhandmakeiteasierforarbitrageurstocarryoutarbitragestrategy，whichhelpteducethepricingerrors：atthesametimefin

5、ancialinnovationservestoreducemarkettransactioncosts，aswellasincreasingmarketefficiencyGeometricAsianoptionisanewtypeofpath—dependentoptions，writtenonthegeometricaverageoftheunderlyingassetoverapre—specifiedperiodCompare

6、dtostandardEuropeanoptions，GeometricAsianoptionsholdssomeobviousadvantagesinreducingtheriskofpricemanipulationnearthematuritydateandinsavinghedgingcostThemaximumortheminimumoptionismulti—assetoptions，whichenableinvestors

7、tomaximizetheproceedsofinvestmentandtominimizelossesInthispaper，basedonthebasicprinciplesoffinancialproductsdesigningandpricing，aswellascombinedwiththecharacteristicsofAsianoptionsandmax—or—minoptions，wedesignanewkindofm