两类不同市模型下回望期权定价.pdfVIP

: : : : : 2007 . ,. , () , ,,. , . Black-Scholes, . , , Black-Scholes. : , , , . Hull-White. : , ,, . , Black-Scholes. , . , ()., . , Hull-White, Black-ScholesTaylor . . , . , , , PDE, . I Pricing Lookback Options on two Different Market Models Postgraduate: Wang Biaobiao Supervisor: Deng Guohe Specialty: Probability theory Mathematical Statistics Research Fields: Financial Engineering Grade: 2007 Abstract Option as an effective tool of keeping away financial risks and hedging has been widely used. In modern market, there exists many exotic options which are traded flexible, and also the profit was suited to the investors. One of these options include the Lookback options whose payoff depends on the maximum or minimum price of the assets during the life of this option, which leads to pricing is much more complex than that of the plain vanilla options. It is well known that an effective market model plays an important role in making decision, financial risk management and hedging, etc. Since the classi- cal Black-Scholes model has many deficiencies in describing the risk of market system. So, many extensions were widely applied, such as the fractional Brown- ian motion model, Stochastic Volatility model and so on. Relating to the classical Black-Scholes model, such models are much more suitable to describe the feature of the actual market risk. Recently, a large number of empirical studies show