基于等价鞅测度的非标准期权和投资组合的研究-概率论与数理统计专业论文.docxVIP

中央民族人学面ABSTRACT 中央民族人学面 ABSTRACT Exotic options，a more complicated derivatives than plain vanilla products，have played a very important role in the financial market． Exotic options can satisfy various investor,SO the reaserch for the exotic options is very necessary．Investment portfolio originate from the classical work of Markowitz，and many scholars improve on the theory in the following years．The model changes from one·period time to discrete time and continuous time，from fixed coefficient to stochastic coefficient．And a lot of methods are created．All have made the theory more approach the actuality．Importantly,the application of the martingale accelerates and ameliorates the reaserch about the financial theory to a great extent． The paper is divided into four parts：The first part introduces the background and some important results about the options and investment portfolio；the second part enumerates the basic knowledge and essential theorem；the third part studies the pricing of several exotic options such as the digital power-options and the chooser—compound options．They are both improved derivatives：the digital power-option is the digital form of power-option，and it Call be used for speculation and hedging； chooser-compound option is the derivative of compound，that can satisfy more investors．At the end of the part，the article simulates the results by Ⅲ 中央民族人学坝|J学位论义the 中央民族人学坝|J学位论义 the method of Monte Carlo；the last part is an improvement about the optimal investment／consumption portfolio based on utility function． KEY WORDS compound options；risk·-neutral world；power-·option； Monte Carlo simulation IV 中央民族人学帧Ij学位论文目录 中央民族人学帧Ij学位论文 目录 摘要手 I ABSTRACT ．III 第一章 绪论 ．．1 第～节研究背景和现状 1 一传统的期权模型 ．1 二期权的研究概况 ．2 三鞅方法 ．3 四投资组合 ．3 第二节论文的结构、工作和创新 4 第二章 预备知识 。5 第一节布朗运动的定义及其性质 5 一鞅的定义 ．5 二布朗运动 6 第二节随机积分和随机微分方程 7 一伊藤过程 ．．7 二随机微分方程： 8 第三节无套利原则 ．9 第四节Black．Scholes模型 。11 第五节蒙特卡洛方法 12 一、Monte Carlo方法简介 12 二、正态分布随机数的产生 13 第三章 两类非标准期权的研究 14 第一节选择型复合期权 14 一、复合期权 14 二、选择型复合期权 15 第二节幂型