依赖时间参数的陆续利率与红利率的期权定价.pdfVIP

℄Æ ℄℄ ℄ ℄ ℄ ℄ , I Abstract With the deepening of China’s reform and opening up, the financial indus- try to the world, more and more participation in the global financial derivatives transactions, domestic banking, securities and futures industry have more and more derivatives available. China’s theoretical circles from China’s actual condi- tions, fully draw on Western financial derivatives pricing theory, to enrich China’s financial theory, there are many scholars in the pricing model, pricing theory and applied research to a certain exploration. In chapter 2 ,we deal with European pricing options with time-dependent parameters for different lending rates and interest rates and continuous yield on Asset -or-Nothing Call, Deductible Calls , Bi-direction European Option and obtain pricing model and the corresponding hedging. In chapter 3 ,it is assumed that continuous rate and yield is with time- dependent parameters, we study the geometric average price of Asian options on Capped Calls, Bi-direction European option and Payoff Segment Calls etc,obtain pricing model. Last we summarize the main results and point out some issues remaining unsolved. Keywordwith time-dependent parameters;continuous rates; Bi-direction European option; Deductible Calls; hedging;Capped Calls;Payoff Seg- ment Calls;Asian Options. II