l233;vy過程下的回望式雙幣期權(quán)定價研究

1、上海交通大學(xué)碩士學(xué)位論文Lévy過程下的回望式雙幣期權(quán)定價研究姓名：顧肖東申請學(xué)位級別：碩士專業(yè)：應(yīng)用數(shù)學(xué)指導(dǎo)教師：林建忠20080101????????????RESEARCH ON QUANTO OPTION VALUATION BY L ´ EV Y PROCESSABSTRACTAs one of the derivative securities, the option takes an important

2、 position infinancial market. For decades, it has been developing rapidly as an instrument forarbitrage and risk prevention. The price of option means the value judgment madeby both of counterparts, but it is rather diff

3、icult to watch it. Hereby, the optionvaluation is always an important subject in financial mathematics.Quanto Option is usually used to hedge foreign assets,in fact,it is an option onthe portfolio of foreign assets to av

4、oid the risk of change of the price and exchangerate. Quanto Lookback Option is a new type of options, this new option is mainobject for which we care in this thesis.This thesis mainly focus on:Under L´ evy process,

5、that is,the price of underlyingassets have jump process, the formula in closed form for European quanto lookbackcall option valuation is given by martingale method. And the proof is given.And theprice of forward option t

6、hat under the L´ evy process.The innovation of this thesis is1. Giving out a formula of joint density function under L´ evy model.2. Giving out the equivalent martingale measures of more than one assets under L