跳到主要內容

簡易檢索 / 詳目顯示

回結果列表
研究生： 盧楓旻
Feng-Ming Ru
論文名稱： 不完整市場的亞洲選擇權
Incomplete market Asian options
指導教授： 周青松
Ching-Sung Chou
口試委員:
學位類別： 碩士
Master
系所名稱： 理學院 - 數學系
Department of Mathematics
畢業學年度： 89
語文別： 中文
論文頁數： 43
中文關鍵詞： 不完整市場 、亞洲選擇權 、馬可夫過程
外文關鍵詞： Incomplete market, asian option, Markov process
相關次數： 點閱：15  下載：0 
分享至:
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報


    • 在第一節中，我們得到了含有一次跳躍的亞式選擇權的封閉解。在第二節中，我們建立了含有Poisson跳躍的亞式選擇權與二階微分方程的關係；並且我們也得到了含有多重跳躍的亞式選擇權的計價方法。


    relation between a second order differential equation and the Asian option with Poisson-jump. At last we also develope a formula of
    pricing the Asian option with multi-jump.

    0 Introduction...........................................0 1 Asian option with one jump.............................4 1-1 Dynamics of the underlying asset and pricing........4 1-2 Application to Calls................................7 1-3 Application to Puts................................26 2 Asian option with multi-jump..........................28 2-1 The Dynamic of the underlying asset and differ- ential equation...................................28 2-2 Pricing............................................37 3 Reference.............................................41

    [1] de Hann,L. and Karandikar,R.L.:Embedding a stochastic difference equation into a continuous-time process. Stochastic Processes and their Applications.32
    [2] Exton,H., ed. :Multiple Hypergeometric Functions and Applications. Ellis Horwood Limited, 1976.
    [3] Exton,H., ed. :Handbook of Hypergeometric Integrals. Ellis Horwood Limited, 1978.
    [4] Kwok.Y.K.: Mathematical Models of Financial Derivatives.Springer-Verlag, 1998.
    [5] Lamberton,D. and Lapeyre,B.: Introduction to Stochastic Calculus Applied to Finance. Chapman and Hall, 1996.
    [6] Lebedev,N.N. :Special Functions and Their Applications.Dover Publications, 1972.
    [7] Merton,R.C. :Theory of rational option pricing. Bell Jornal of Economics and Management Sciences, vol.4,1973.
    pp.141-183.
    [8] Protter,P. :Stochastic Integration and Differential Equations. Springer-Verlag, Berlin Heidelberg, 1990.
    [9] Revuz,A. and Yor,M. :Continuous Martingales and Brownian Motion. Springer-Verlag, 1991.
    [10]
    Yor,M. :Some Aspects of Brownian Motion. Part I : Some Special Functionals.}Lectures in Mathematics. ETH Z"{u}rich,
    Birkh"{a}user, 1992.
    [11] Yor,M., ed.: Exponential functionals and pricipal values related to Brownian motion. Biblioteca de la Revista
    Matematica Ibero-Americana, 1997.
    [12] Yor,M. :Some Aspects of Brownian Motion. Part II : Some Recent Martingale Problems. Lectures in Mathematics. ETH Z"{u}rich, Birkh"{a}user, 1997.
    [13] Yor,M., ed.: On certain Markov processes attached to exponential functionals of Brownian motion ; application to Asian options. To appear in Revista Matematica Iberoamericana.(2001).

    QR CODE
    :::