廣義Ornstein-Uhlenbeck過程的歐式未定權(quán)益定價.pdf

1、湖南師范大學碩士學位論文廣義nsteinUhlenbeck過程的歐式未定權(quán)益定價姓名：劉堅申請學位級別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計指導(dǎo)教師：楊向群20060301ABSTRACTInnearlydecadesyears，theraLlonr既earchinthe丘nancemDsemoreandmoreatteⅡtjonPeopkaresuretoreaIIsetheimportanceofthemathematlcsmethodand

2、math呦aticsideanthcratIour器earchforthegmbal址y矗nance8tormInthe20century90’E印ecl“l(fā)ythe丘nanceder】Vate】narketdeVelopsrapIdlyandthe矗nancederivatepr。ductemergeinendl鋁sly，theinVcstclIanc瞄andtheeludingrisktooltotheinV鼬tors8reexte

3、ndedAl。ngw記haccedingcoWTO，wehavet。face“eopponunhi葛andchaIIengesforthegrobaIityof療Ⅱance，andallkindsofderIvatesccuriti曙willenterintoournatknal6nancemarket，sowehavetoaccountfbrtheprkingproblemandtheinVestmentdecision—m8king

4、Thisdisquismon8tudiessomepricingproblemoftheEuropeancon船培entclajmsF0r曰(tendjngandinnovatlngsomeconclusion，weobtaInthebetterorthesignl矗cativeresuItswhicharemo腭e8siJyformanipuj醣iontothe直nancepr砒IceInde08訂weh8vom8in∞nc】usi。

5、ns抽thlspaPerasf?！俊縪_l=；rs：1，TheInterestrateisvolatilempracticalhy，whichwlU8攘眥themv船cconductand恤eoptionprice，andthepriceofscockcanob8ytheo￡herstoch齜icprocessUnderHuiI—Whiteinter髂tratem。delandstockpricedfivcnbyOnlstein—Uh】

6、enba吐proce鸝，theprlcingproblemonEuropeanstockoptionwithcontinuousdividendandfore瞎ncur砷ncyoptionarediscu8sed，毛heprlceofoptlonswlllbegainedbythemartingaIemethodandalsotheefrectofintefestratetotheoptionpricevlatheanalys誼ofda

7、tacompute2Assumingtheinterestrateandthestockprice虹℃bothdrivenbyOrnstein—Uhlenbackproces8，wecon8lderthepossmilhythatthecontr毗8arestoppedbeforeexplredatesandobtaintheEuropeanoptionprlceformulaswithstochastclifeFur乞hermore，

8、theresultisusedtootherEuropeancontjngentclalm83Theprkeofthereloadoptionlsobtalnedlnthis矗Ⅱancalmarkecwherethestockfo【low8Exp—Ornstem—Uhlenbackprocessandtheinter髓tratesarea180drlvenbyOrnstein—Uhlenbad(processwlthmarchlgale