统计学专业毕业论文--欧式期权定价理论及其数值计算方法.docVIP

摘 要 　　随着全球金融市场的迅猛发展，期权也越来越受到很多人的关注，有必要对期权进行更加深入的研究。前人已经对欧式期权定价进行了很深入的研究，在1973年Fischer Black和Myron Scholes建立了看涨期权定价公式并因此获得诺贝尔学奖。本文对欧式期权的定价的讨论主要在其定价模型和数值计算方法两个方面，探讨其理论知识和进行实例分析，并得出简单的结论。 本文将从以下六个方面讨论。第一：介绍问题的背景和意义，先前的研究成果以及本文框架；第二：讨论期权的基础知识，了解期权损益和定价界限；第三：研究二项式模型，由浅入深的分别给出股价运动一期、二期和多期的欧式期权定价公式；第四：研究Black-Scholes模型，通过求解Black-Scholes方程得到Black-Scholes公式，并探讨Black-Scholes模型和二项式模型的联系，即得到波动率，就可以求出与之相匹配的二项式模型中的，和；第五：用数值计算方法求解欧式期权定价，分析了二叉树图法和有限差分法，有限差分方法又包括内含有限差分方法、外推有限差分方法及Crank-Nicolson差分方法。两种数值方法都要求得到末期的期权值来推出初期的期权值，然后进行实例分析进行应用，并用计算机语言把数学内容表示出来，实现数学知识与计算机语言的结合。第六：通过以上的内容得出一些结论。本文的重心是基于对期权定价的模型和数值方法的探讨和分析，加以实例辅助突出其应用性，不足之处在于理论的突破性不大。Black-Scholes模型Abstract In the wake of the rapid development of financial market, people are giving more and more attention to Option. So, it is necessary to probe into Option. The former scholar did it. In 1973, Fischer Black and Myron Scholes won the Nobel Prize because of establishing the call option pricing formula. The thesis focuses on the pricing of European Option at the aspects of the pricing model and the numerical computation approach. The writer hopes to reach the conclusion through the discussion of the theoretical knowledge and the analysis of examples. The thesis has six chapters. Chapter one represents the background and significance, the former research results and the structure introduction. Chapter two shows the basic knowledge of Option, Option profit and loss, and Option fixed price boundary. Chapter three discusses the Binomial model. It probes into European Option pricing formula during the different periods of stock price movement from the simplest to more complex. In chapter four, the writer analyzes the Black-Scholes model. And the Black-Scholes formula () is got by solving the Black-Scholes equation. Then the relation between the Black-Scholes model and the Binomial model, that is to say, Volatility is studied. In chapter five, the writer solves the question about European option pricing with two numerica