一类累计期权的定价.docVIP

一类累计期权的定价 　　[摘　要]　累计期权是一种以合约形式买卖资产的金融衍生工具，其实质是投资者和发行商之间的一个金融合约。通过假设累计期权为合约一方没有收益上限要求和有收益上限要求两种情况以及股票价格服从几何布朗运动，然后，利用B-S模型对这两种情况下的累计期权定价，分别解出解析解和数值解,得出当合约一方有收益上限要求时，其需要支付的期权金会随着股票波动率和无风险利率的增大而减少，随着敲定价的增大，其期权金的最大值会受到收益上限的约束等结果，从而研究累计期权的风险价值。对于包含多个实施时间的累计期权定价问题，可采用蒙特卡罗方法模拟期权价格的思路。 　　[关键词]　累计期权；Black-Scholes模型；几何布朗运动 　　[中图分类号]　F830.9　　　　[文献标识码]　A 　　The Pricing of Class-One Accumulator 　　REN Xuemin, WANG Yu 　　Abstract: Accumulator is a financial derivative tool, buying and selling assets in the form of contract, the essence of which is the financial contracts between investors and vendors. In order to study the value-at-risk of accumulators, supposing that there are two circumstances of accumulators, one with income ceiling requirements, the other not, and that share prices comply with geometric Brownian motion and then, making use of Black-Scholes model to pricing the accumulators under these two circumstances, well work out respectively the analytical solution and the numerical solution and learn that when one party has income ceiling requirements, the needed premium will reduce along with the stock volatility and the increase of risk-free rate and that with the increasing of strike price, the maximum of premium will be restrained by income ceiling. With regard to the pricing of accumulators which include multiple implementary times, Monte Carlo method might be adopted to imitate the pricing process of share options. 　　Key words: accumulator, Black-Scholes model, geometric Brownian motion 　　累计期权(accumulator)，是一种以合约形式买卖资产(股票、外汇或其它商品)的金融衍生工具。累计期权的实质是投资者和发行商之间的一个金融合约。发行商在合约中锁定挂钩资产的上下限，并规定在一年内以低于签约价的5%-10%每日向客户提供固定数量的股票，当股价升过3%-5%时，合约就自行终止，但当股价低于规定的行使价时，客户必须按合约的规定继续从开发商手中买入双倍甚至三倍的股票，协议一般有很高的杠杆性，投资者只要支付合约金额的40%或者用相应金额的股票作抵押就可以操作。显然，对于投资者来说，如果市场处于牛皮盘整或者上升，投资者也只可以赚取有限的收益，而一旦市价下跌，特别是大幅度下跌，投资者将会面临巨大的损失。2007年金融危机爆发以来，众多企业购买的复杂金融衍生产品发生巨额亏损，如东方航空购买的航油套期保值合约公允价值损失约为18.3亿元，国际航空所测算损失达到31亿等。可见，设计科学合理的累计期权以及对累计期权公平合理定价势在必行，可以有效的规范金融市场，减少累计期权合约定价不合理造成的风险。 　　本文首先假设累计期权只有两个实施时间，分别考虑合约一方没有