### 博碩士論文 87221002 詳細資訊

 姓名 盧楓旻( Feng-Ming Ru)  查詢紙本館藏 畢業系所 數學系 論文名稱 不完整市場的亞洲選擇權(Incomplete market Asian options) 檔案 [Endnote RIS 格式]    [Bibtex 格式]    [檢視]  [下載]本電子論文使用權限為同意立即開放。已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。 摘要(中) 在第一節中，我們得到了含有一次跳躍的亞式選擇權的封閉解。在第二節中，我們建立了含有Poisson跳躍的亞式選擇權與二階微分方程的關係；並且我們也得到了含有多重跳躍的亞式選擇權的計價方法。 摘要(英) relation between a second order differential equation and the Asian option with Poisson-jump. At last we also develope a formula of pricing the Asian option with multi-jump. 關鍵字(中) ★ 不完整市場★ 亞洲選擇權★ 馬可夫過程 關鍵字(英) ★ Incomplete market★ asian option★ Markov process 論文目次 0 Introduction...........................................0 1 Asian option with one jump.............................4 1-1 Dynamics of the underlying asset and pricing........4 1-2 Application to Calls................................7 1-3 Application to Puts................................26 2 Asian option with multi-jump..........................28 2-1 The Dynamic of the underlying asset and differ- ential equation...................................28 2-2 Pricing............................................37 3 Reference.............................................41 參考文獻 [1] de Hann,L. and Karandikar,R.L.:Embedding a stochastic difference equation into a continuous-time process. Stochastic Processes and their Applications.32 [2] Exton,H., ed. :Multiple Hypergeometric Functions and Applications. Ellis Horwood Limited, 1976. [3] Exton,H., ed. :Handbook of Hypergeometric Integrals. Ellis Horwood Limited, 1978. [4] Kwok.Y.K.: Mathematical Models of Financial Derivatives.Springer-Verlag, 1998. [5] Lamberton,D. and Lapeyre,B.: Introduction to Stochastic Calculus Applied to Finance. Chapman and Hall, 1996. [6] Lebedev,N.N. :Special Functions and Their Applications.Dover Publications, 1972. [7] Merton,R.C. :Theory of rational option pricing. Bell Jornal of Economics and Management Sciences, vol.4,1973. pp.141-183. [8] Protter,P. :Stochastic Integration and Differential Equations. Springer-Verlag, Berlin Heidelberg, 1990. [9] Revuz,A. and Yor,M. :Continuous Martingales and Brownian Motion. Springer-Verlag, 1991. [10] Yor,M. :Some Aspects of Brownian Motion. Part I : Some Special Functionals.}Lectures in Mathematics. ETH Z"{u}rich, Birkh"{a}user, 1992. [11] Yor,M., ed.: Exponential functionals and pricipal values related to Brownian motion. Biblioteca de la Revista Matematica Ibero-Americana, 1997. [12] Yor,M. :Some Aspects of Brownian Motion. Part II : Some Recent Martingale Problems. Lectures in Mathematics. ETH Z"{u}rich, Birkh"{a}user, 1997. [13] Yor,M., ed.: On certain Markov processes attached to exponential functionals of Brownian motion ; application to Asian options. To appear in Revista Matematica Iberoamericana.(2001). 指導教授 周青松(Ching-Sung Chou) 審核日期 2001-7-9 推文 facebook   plurk   twitter   funp   google   live   udn   HD   myshare   reddit   netvibes   friend   youpush   delicious   baidu