基于資產(chǎn)價的幾何平均的多風(fēng)險極值期權(quán)的定價.pdf

1、廈門大學(xué)碩士學(xué)位論文基于資產(chǎn)價的幾何平均的多風(fēng)險極值期權(quán)的定價姓名：柳維芳申請學(xué)位級別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計指導(dǎo)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