几类期权定价问题的研究.pdfVIP

Option is one of basic tools for financial derivatives and is a contract that the holder can, at the determined time, buy (sell) a certain quantity and quality of underlying assets according to a determined price. It is very similar to the forward contracts, futures and can be used to perform risk management on the underlying assets. The option pricing problems can be investigated by establishing some appro- priate model of partial differential equations and by using the theory and method of partial differential equations. The thesis studies some options pricing problems about European options, Asian options and lookback options. There are four chapters: Chapter 1 gives an introduction of the concept of options, the development history and the research progress of options. At the same time, we introduce the main works and the ar- rangement of this thesis. In Chapter 2, we mainly study the asymptotic expansion problem of the intersection between European call price and its payoff function. We derive the asymptotic expansions of the intersection near expiration in three different cases: r q , r q and r = q , where r is the non-risk interest rate，q is the dividend yield. Comparisons between our asymptotic expansions and those for the case of European put option are made, which imply that they have a dual nature. The results will also help us to understand the convergence of the Ameri- can call option’s asymptotic expansions at the singularity; Chapter 3 is devoted to investigating the pricing problem for the discrete sampled arithme