几类期权定价问题的研究-应用数学专业论文.docxVIP

万方数据 万方数据 Some research on several kinds of option pricing problems Abstract Option is one of basic tools for ?nancial 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 di?erential equations and by using the theory and method of partial di?erential 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 payo? function. We derive the asymptotic expansions of the intersection near expiration in three di?erent 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 arithmetic average Asian option. We ?rst give the Curran’s analytic pricing formula and its proof, and then analyze the di?erence and advantages or disadvantages between the Curran’s for- mula and Nielsen’s analytic pricing formula. Finally, based on this, we ?nd that the Nielsen’s approximate formula is relatively more accurate; In Chapter 4, by utilizing the method of J. E.