23121.外匯期權(quán)定價的非參數(shù)估計

1、聲明尸I凋本學(xué)位論文是我在導(dǎo)師的指導(dǎo)下取得的研究成果，盡我所知，在本學(xué)位論文中，除了加以標(biāo)注和致謝的部分外，不包含其他人已經(jīng)發(fā)表或公布過的研究成果，也不包含我為獲得任何教育機構(gòu)的學(xué)位或?qū)W歷而使用過的材料。與我一同工作的同事對本學(xué)位論文做出的貢獻均己在論文中作了明確的說明。研究生虢駐掃件年沙汨學(xué)位論文使用授權(quán)聲明南京理工大學(xué)有權(quán)保存本學(xué)位論文的電子和紙質(zhì)文檔，可以借閱或上網(wǎng)公布本學(xué)位論文的部分或全部內(nèi)容，可以向有關(guān)部門或機構(gòu)送交并授權(quán)其保

2、存、借閱或上網(wǎng)公布本學(xué)位論文的部分或全部內(nèi)容。對于保密論文，按保密的有關(guān)規(guī)定和程序處理。、壙研究生簽名：蘭墨豎細(xì)f中年多月2讕Abstract碩士學(xué)位論文AbstractAsafastestgrowingfinancialderivativesinstrument，foreignexchangeoptionsarefavoredbyvariouscountriesandeconomiesbecauseofitsgoodhedgingef

3、fect，thoughtheydonothaveaverylonghistoryScholarskeepresearchingandimprovingonitspricingmodelUndertheassumptionofvolatilityWaSaconstant，wecangetthecorrespondingclosedformsolutionoftheEuropeanoptionvalue，derivedfromthetrad

4、itionalmean—revertinglognormalmodelAndapplyingthismodeltothepricingofforeignexchangeoptions，theywillshowthenaturethatforeignexchangeratesarealwaysfluctuatearounditsmeanvaluewithincertainranges，SOitseffectofpricingisgoodI

5、nthispaperweimprovetheassumptionthatvolatilitywasaconstant，proposingthepricedependentmean—revertinglognormalmodelinwhichthevolatilityisafunctionofunderlyingassetBasedonthedata，usingthemethodsofnon—parametricestimation，we

6、valuethevolatilityThensubstitutetheestimationresultsintothemodelandthecorrespondingnumericalsolutionsCanbederivedSpecificworksareaSfollows：Section1introducesthecurrentdevelopmentofforeignexchangeoptionsandfinancialderiva

7、tives，thepropertiesofmeanrevertingmodelarealsoincluded；Section2illustratesthemean—revertinglognormalmodel，itsmathematicalderivation，andtheimportanceofstochasticvolatilityinimprovingtheaccuracyofthepricingmodel；Section3ma

8、inlypresentsthewaveletestimationmethods，wecanusethistovaluethediffusioncoefficientofthemodel；Section4ofthispapershowstheprocessofderivingtheprice—dependemmeanrevertinglognormalformulaSandderivesthecorrespondingnumericals

9、olutionTheboundaryconditionsofthesolmionanditsstabilityandcompatibilityareproved；Section5showstheempiricalanalysiswecangetfromthedatausingthemethodsdescribedinthesectionaboveAndconclusionsaredrawnasfollows：thepricedepend