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Synopsis
金融衍生工具的发展是当今国际金融领域里的新旋律,期权作为金融衍生工具的核心,成为理论界研究的重点和热点,其中如何对期权进行定价和风险对冲是必须解决的首要问题。 本文利用鞅方法探讨了亚式期权定价和风险对冲问题,首先介绍了期权定价原理并以B-S框架下欧式期权定价和套期保值为基础,主要进行以下两个方面的研究工作:1.亚式期权具有强路径依赖性,定价较为复杂,本文通过变换计价单位,并结合测度变换定理,给出了变系数B-S模型下几何平均执行价格型亚式期权定价的更为简便的推导方法,得到了理想的定价公式,并进一步给出了其套期保值策略;2.探讨了随机波动率模型下亚式期权定价与套期保值问题,首先对该模型下市场的完备性给出了证明,在此基础上应用鞅方法给出亚式期权定价的一般表达式及近似解。
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About the Author
唐玲 安徽建筑大学副教授 研究方向：应用统计与风险决策，金融衍生资产定价
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - jin rong yan sheng gong ju de fa zhan shi dang jin guo ji jin rong ling yu li de xin xuan lv qi quan zuo wei jin rong yan sheng gong ju de he xin cheng wei li lun jie yan jiu de zhong dian he re dian qi zhong ru he dui qi quan jin xing ding jia he feng xian dui chong shi bi xu jie jue de shou yao wen ti ben wen li yong yang fang fa tan tao le ya shi qi quan ding jia he feng xian dui chong wen ti shou xian jie shao le qi quan ding jia yuan li bing yi B S kuang jia xia ou shi qi quan ding jia he tao qi bao zhi wei ji chu zhu yao jin xing yi xia liang ge fang mian de yan jiu gong zuo 1 ya shi qi quan ju you qiang lu jing yi lai xing ding jia jiao wei fu za ben wen tong guo bian huan ji jia dan wei bing jie he ce du bian huan ding li gei chu le bian xi shu B S mo xing xia ji he ping jun zhi xing jia ge xing ya shi qi quan ding jia de geng wei jian bian de tui dao fang fa de dao le li xiang de ding jia gong shi bing jin yi bu gei chu le qi tao qi bao zhi ce lve 2 tan tao le sui ji bo dong lv mo xing xia ya shi qi quan ding jia yu tao qi bao zhi wen ti shou xian dui gai mo xing xia shi chang de wan bei xing gei chu le zheng ming zai ci ji chu shang ying yong yang fang fa gei chu ya shi qi quan ding jia de yi ban biao da shi ji jin si jie. Seller Inventory # 9783330826014
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Taschenbuch. Condition: Neu. Neuware -jin rong yan sheng gong ju de fa zhan shi dang jin guo ji jin rong ling yu li de xin xuan lv qi quan zuo wei jin rong yan sheng gong ju de he xin cheng wei li lun jie yan jiu de zhong dian he re dian qi zhong ru he dui qi quan jin xing ding jia he feng xian dui chong shi bi xu jie jue de shou yao wen ti ben wen li yong yang fang fa tan tao le ya shi qi quan ding jia he feng xian dui chong wen ti shou xian jie shao le qi quan ding jia yuan li bing yi B S kuang jia xia ou shi qi quan ding jia he tao qi bao zhi wei ji chu zhu yao jin xing yi xia liang ge fang mian de yan jiu gong zuo 1 ya shi qi quan ju you qiang lu jing yi lai xing ding jia jiao wei fu za ben wen tong guo bian huan ji jia dan wei bing jie he ce du bian huan ding li gei chu le bian xi shu B S mo xing xia ji he ping jun zhi xing jia ge xing ya shi qi quan ding jia de geng wei jian bian de tui dao fang fa de dao le li xiang de ding jia gong shi bing jin yi bu gei chu le qi tao qi bao zhi ce lve 2 tan tao le sui ji bo dong lv mo xing xia ya shi qi quan ding jia yu tao qi bao zhi wen ti shou xian dui gai mo xing xia shi chang de wan bei xing gei chu le zheng ming zai ci ji chu shang ying yong yang fang fa gei chu ya shi qi quan ding jia de yi ban biao da shi ji jin si jieVDM Verlag, Dudweiler Landstraße 99, 66123 Saarbrücken 64 pp. Chinesisch. Seller Inventory # 9783330826014
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