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dc.contributor.advisor赵宏飙
dc.contributor.author刘耀筠
dc.date.accessioned2018-12-05T01:43:29Z
dc.date.available2018-12-05T01:43:29Z
dc.date.issued2017-11-02
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/170225
dc.description.abstract期权作为最常见的一类金融衍生品,它的定价和风险对冲的问题已经有一套比较成熟的研究体系。但是对于一些奇异期权的研究却还不太成熟,而金融市场的期权类产品也越来越多,形式越来越复杂。因此,用一种比较通用的方法去解决这类期权的定价和风险对冲就显得尤为重要。 本文主要研究了欧式看涨期权,数字看涨期权和特殊障碍期权这三类期权在偏微分方程下的定价和风险对冲问题。首先,本文将B-S偏微分方程转换成了热传导方程求解,这使得数值计算在技术上变得更简单。其次,本文主要讨论了偏微分方程数值定价最常用的两种方法:隐式差分法和Crank-Nicolson法在期权定价中的应用。发现虽然隐式差分法的收敛速度不及Crank-...
dc.description.abstractThere are many mature studies on options pricing since options are one of the most widely traded financial products. However, the study on exotic options is relatively rare. As the development of financial market, there will be much more complex option products. Thus, finding a general method to solve the option pricing and hedging problems is essential. This paper mainly focuses on the pricing a...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=57062&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=62032
dc.subject偏微分方程数值解
dc.subject光滑函数
dc.subject隐式差分法
dc.subjectCrank-Nicolson 法
dc.subjectPDE Numerical Solution
dc.subjectSmoothing Function
dc.subjectImplicit Scheme
dc.subjectCrank-Nicolson Scheme
dc.title期权定价及其风险对冲:偏微分方程数值解法结合光滑函数的解决方案
dc.title.alternativePricing and Hedging Options: A Numerical PDE Approach with Smoothing
dc.typethesis
dc.date.replied2017-04-17
dc.description.note学位:应用统计硕士
dc.description.note院系专业:王亚南经济研究院_应用统计硕士
dc.description.note学号:27720141152785


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