具有连续红利的幂型欧式期权定价

在等价鞅测度框架下,讨论了在期权到期时刻具有连续红利支付的幂型股票欧式期权的定价公式.这里我们假设市场无风险利率,股票预期收益率,股价波动率以及股票红利率都是时间的确定性函数.     

两个或多个几何平均价格的最小或最大值期权的定价

两个或多个几何平均价格的最小或最大值期权是金融领域极具应用前景的新型复合期权.提出了一种新方法,简单而巧妙地得到了两个几何平均价格的最小值期权价格的解析公式.将该法直接推广,首次得到多个几何平均价格的最小和最大值期权的解析公式.首次给出的数值算例表明两个几何平均价格的最小值期权要比相应的最大值期权便宜,而它们都要比两资产的最大值期权便宜.若考虑红利率,则它们两者的价格都会减少.     

基于汇率回报厚尾性的外汇期权定价模型

主要研究汇率回报呈厚尾分布的外汇期权定价问题。本文利用t-分布能捕获汇率回报序列厚尾特征的优势，推导出基于t-分布外汇期权定价模型的解析表达式，即对外汇期权定价模型——BSGK模型进行了修正，同时应用矩估计法估计出的t-分布的自由度用于该定价模型的计算，最后基于t-分布的外汇期权定价模型和BSGK外汇期权定价模型进行了比较分析。     

A Pricing Model for American Options with Gaussian Interest Rates

In this paper we introduce a new methodology to price American put options under stochastic interest rates. We derive an analytic approximation that can be evaluated very fast and is fairly accurate. The method uses the so-called forward risk adjusted measure to derive analytic prices. We show that for American puts the correlation between the stock price and the interest rate has different influences on European option values and early exercise premiums.     

汇率连动欧式幂型期权鞅定价及避险

研究了汇率连动选择权中执行价是本国货币的外国股票权证的欧式幂型期权的鞅定价问题,推导了其看涨、看跌定价公式,并求出了其相应的避险参数.     

Numerical Methods for the Pricing of Swing Options: A Stochastic Control Approach

In the natural gas market, many derivative contracts have a large degree of flexibility. These are known as Swing or Take-Or-Pay options. They allow their owner to purchase gas daily, at a fixed price and according to a volume of their choice. Daily, monthly and/or annual constraints on the purchased volume are usually incorporated. Thus, the valuation of such contracts is related to a stochastic control problem, which we solve in this paper using new numerical methods. Firstly, we extend the Longstaff–Schwarz methodology (originally used for Bermuda options) to our case. Secondly, we propose two efficient parameterizations of the gas consumption, one is based on neural networks and the other on finite elements. It allows us to derive a local optimal consumption law using a stochastic gradient ascent. Numerical experiments illustrate the efficiency of these approaches. Furthermore, we show that the optimal purchase is of bang-bang type.      

国内外利率为随机的双币种重置型期权定价

双币种重置期权的特征是指在终端期T时的收益依赖于预先设定的t<,0>时刻标的资产的价格与执行价K>0(事先给定)的大小关系重新设置期权的执行价从而给出其定价,这种期权是投资于外国资产的一种合约,其风险不仅依赖外国资产价格的变化,还受外国货币的汇率以及国内外两种利率波动的影响,所以在实际应用方面十分广泛.本文首先就标的资...     

A Simple Analytical and Numerical Approach for Pricing Compound Options

A compound option is simply an option on an option. In this short paper, by using a martingale technique, we obtain an analytical formula for pricing compound European call options. Numerical results are given to explain some economic phenomenon.     

具有固定敲定价格的算术平均亚式期权的计算

本文研究算术平均的欧式亚式期权.我们将充分利用偏微分方程的Fichera理论和边值问题的定解理论,求出了一个简单的近似解析表达式.经实际数据验算,有较满意的逼近结果,特别地,在部分区域内的计算效果好于文章[1].