兰州大学机构库 >数学与统计学院
双跳-扩散过程下的脆弱期权定价
Alternative TitleVulnerable European Option Pricing for two Jump-diffusion Processes
颜博
Thesis Advisor严定琪
2011-05-19
Degree Grantor兰州大学
Place of Conferral兰州
Degree Name硕士
Keyword跳-扩散过程 信用风险 脆弱期权定价 随机微分方程 公司价值
Abstract脆弱期权是指含有信用风险的期权。近年来金融交易中的违约现象大大增加,这使得银行等金融中介、公司和投资者都面临着极大的信用风险。同时违约风险越来越复杂,如何给含有信用风险的期权合理地定价已经成为风险和期权定价理论研究的一个非常重要的问题。 本文考虑含有交易对手违约风险的衍生产品的定价。考虑到金融市场的不完备性,为了研究突发事件对期权定价的影响,综合考虑了违约风险与市场风险,应用了泊松过程来描述突发事件,假设标的资产的价格以及公司价值都服从跳-扩散过程,在信用风险模型的基础上,用结构化的方法对脆弱期权定价进行建模,完善了陈超(2008)的模型。公司负债为常数和公司负债服从随机过程时,分别建立了脆弱期权定价模型,并给出了脆弱看涨期权和脆弱看跌期权的定价公式。本文还讨论了模型中条件退化时的特殊情形。
Other AbstractVulnerable options are options that contain credit risk. Uncertainties such as financial crisis have a more and more important influence in the operators and investors in recent years, which leads to an increase in the breaches and then brings the banks, enterprises and investors great credit risks. Moreover, the more complicated the default risk, the more important to price the options with credit risk in risk and option research. The pricing for derivatives of counterparties with default risk was considered. Default risks and market risks are considered and the influence of emergency on option evaluation was studied by taking the incompleteness of financial market into account. Firstly, poisson process was introduced to represent emergency, while the underlying assert and company value are both jump-diffusion processes. Then, vulnerable options were modeled in a structured approach based on credit risk models, and the model proposed by Chen Chao (2008) was improved. Finally, vulnerable options were modeled when the liability is a constant and poisson process respectively, the pricing formulas for vulnerable bullish option and vulnerable bearish option are derived. Moreover, the special cases of degraded model conditions are discussed.
URL查看原文
Language中文
Document Type学位论文
Identifierhttps://ir.lzu.edu.cn/handle/262010/224681
Collection数学与统计学院
Recommended Citation
GB/T 7714
颜博. 双跳-扩散过程下的脆弱期权定价[D]. 兰州. 兰州大学,2011.
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