两类强路径期权定价分析-应用数学专业论文.docxVIP

II II Abstract The main goal of this paper is to study asian options and lookback options. They are typical representative of strongly path-dependent options, and they are different from standard option obviously. They are inauguration of European options. So they connect with the standard European options nearly. Black-Scholes Option Pricing Model is just one of the most effective means to solve main content of the article. Therefore we should understand Black-Scholes Option Pricing Model fully which concludes to our research. Because of the property of path-dependent, there exists distinguished difference beteen asian option and lookback options pricing models and standard options’. Its main content is as follows: Firstly, we suppose the stock price obey the lognormal distribution, then we utilize the theory of effective market,the non- arbitrage principle and the Ito theorem to infer the Black-Scholes Option Pricing Model and the pricing formula. Next it narrates chief outcomes in the extension and development of Black-Scholes option pricing model simple: pricing formula for European option with transaction costs and the pricing formulae of European options with no risk-neutral valuation. Secondly, in the consideration of having dividend and transaction cost which is the no increases linear function of the trade volume , we establishes the geometry average Asian options pricing model. Then we use transaction and poission formula to infer the price formula of average value put and call options with geometric averaging;and we use Fourier Transaction to infer the price formula of the average strike value put and call options with geometric. Finally, because Asian options and Lookback options are strong path-dependent options, we use their similarity and characteristic of Lookback options to infer the Lookback options pricing model with transaction cost and dividend, when the transaction cost is the no increases linear function of the trade volume . Key wor