相关期权

复合期权与路径相关期权定价理论模型、数值模拟及应用研究

Research on the Theoretical Pricing Model and Numerical Simulation of Compound Option and Path-dependent Option and Their Applications

多期复合期权与路径相关期权的定价问题是当今金融工程研究的热点。

The valuation of multi-stage compound option and path-dependent option is the important problem in current financial engineering research .

对于某些路径相关期权可以定义一个新的变量来表示路径的特征。此变量一般为关于时间的函数。

To some path-dependent options , we can define a new varible that is the function of the time .

本文研究的复合期权与重置期权等都是路径相关期权。

In this paper , we intend to study the compound options and reset options that all belongs to the path-dependent options .

本文借助于有限差分和有限元方法拓宽了多期复合期权和路径相关期权定价的理论模型与应用的范围。

This paper extends the theoretical model and application scope of multi-stage compound option and path-dependent option using Finite Difference Method and Finite Element Method .

近年来，国际金融衍生市场涌现出标准期权派生出的新品种，其中路径相关期权由于其最终受益与整个有效期标的资产价格的变化有关而得到了更多的关注。

Among those new derivatives , the path-dependent option has attracted more attention ascribed to the relationship between their ultimate benefit and the underlying assets price changes .

与非路径相关期权相比较，路径相关期权的定价模型中的多状态变量问题导致了问题求解的困难，难以反映复杂路径相关特性对期权价值的影响。

Compared with the option without path-dependent feature , the multiple state variables in the pricing model of path-dependent option bring the soluting difficulty and make it hard to reflect the impact of complex path-dependent features on option value .

与轨道相关的期权的二项式定价方法研究

Binomial Pricing of Path Dependent Option

中继卫星的定轨方式研究与精度分析与轨道相关的期权的二项式定价方法研究

Research on the Orbit Determination Style of TDRS and Precision Analysis ; Binomial Pricing of Path Dependent Option

然后具体对股票期权的方案设计进行了较为深入的探讨，并且在借鉴国外企业股票期权会计处理方法的基础上，对我国企业相关股票期权计划的会计处理进行了进一步的研究。

Thirdly , the author deeply researched the design of execution plan and the accounting handling of the ESO .

由于没有基础市场报价，与这些股票相关的期权也无法交易。

Options traded on these shares also cannot trade – there is no underlying market to quote them against .

通过对股票价格变动的二项式模型的分析，以鞅理论为基础，讨论与轨道相关的期权的定价方法。

This paper analyzes the binomial model of stock price movement , and on the basis of martingale theory discusses the pricing of path dependent options .

不过，股票成交量增长最重要的因素，是相关期货和期权出现了幅度甚至更大的增长。

But the most important factor in the increase in trading volumes of equities has been the even more phenomenal increase in related futures and options .

计算结果正确反映了标的资产波动率、无风险利率、资产当期价格和成交价格及资产间的协相关系数对期权定价的影响。

Some numerical examples are presented for European option pricing problems , and the computational results accurately reflect the relationships among option pricing with the volatility , un-risk interest rate , expiration price , exercise price and correlation coefficient of underling assets .

第二章论述了与本文相关的理论，包括寡头市场理论、技术创新相关理论、期权和实物期权相关理论和博弈论的相关知识。

Chapter II deals with relevant theory in this dissertation , including the theory of oligopoly markets , technological innovation , options , real options and game theory .