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英国毕业论文:OPTIONS PORTFOLIOS EVALUATIONS INCLUDING CASH-OR-NOTHING AND SUPERSHARE OPTIONS

论文作者:英语毕业论文论文属性:本科毕业论文 Thesis登出时间:2012-05-23编辑:tinkle点击率:8556

论文字数:7227论文编号:org201205231605117789语种:中文 Chinese地区:英国价格:$ 55

关键词:英语毕业论文SUPERSHARE OPTIONSthe stock price volatilitythe average delivery price

摘要:Options are financial derivatives for avoiding market risk. Many theories and practices show that as long as investors choose reasonable numbers of securities and their derivatives, they will obtain risk-free interest rate which resulting in risk-free returns. This combination depends on the pricing of derivative securities.

英语毕业论文题目:有关期权定价 (老师给的题目这边写不去,我写在补充要求那)
论文语种:英文
您的研究方向:金融数学
是否有数据处理要求:是
您的国家:英国
您的学校背景:英国 莱斯特大学 全英排名15左右
要求字数:10000字左右
论文用途:英语毕业论文

是否需要盲审(博士或硕士生有这个需要):否
补充要求和说明:要用到MATLAB去解中间的一些方程  然后老师给我的确定题目是

(options portfolios evaluations including cash-or-nothing and supershare options,the problem of boundary conditions,  using Crank-Nicholson method)

 

英语毕业论文OPTIONS PORTFOLIOS EVALUATIONS INCLUDING CASH-OR-NOTHING AND SUPERSHARE OPTIONS

ABSTRACT
Options are financial derivatives for avoiding market risk. Many theories and practices show that as long as investors choose reasonable numbers of securities and their derivatives, they will obtain risk-free interest rate which resulting in risk-free returns. This combination depends https://www.51lunwen.org/FinancialMathematics/  on the pricing of derivative securities. This dissertation tries to propose and use an effective researching method to work on any portfolio of European-type options. They are different one another just because they have different payoffs. This dissertation will calculate the price of cash-or-nothing option and supershare option (by changing the final condition), and then summing up the values obtained to deal with a portfolio. That is to say, the portfolio value is the sum of the values of the different types of options. Different methods such as the implicit Euler methods will be discussed and used for empirical analysis and the problem of one factor uncertain volatility converges unconditionally will be studied. Moreover, some plots of the solution based on the data got from numerical software Matlab will be drawn, in order to show an intuitive display of the results. Through a large number of calculations, some changing laws of option price can be got easily, when the stock price volatility and the average delivery price are continuous changing within a certain range. Thus, it’s facilitating further research on option pricing.

 
TABLE OF CONTENTS
1. Introduction 4
1.1 Background 4
1.2 The basic ideas of option pricing theory 6
1.3 Statement of the problem 7
1.3.1 Research questions 7
1.3.2 Proposed objectives 7
1.4 Structure of the dissertation 8
2. Literature review 9
2.1 The Brownian motion 9
2.2 Ito Process and Ito Formula 11
2.3 Review of the Black-Scholes PDE option pricing model 12
2.4 Monte-Carlo simulation 15
3. Finite Difference Method 17
3.1 Explicit method 18
3.2 Implicit method 19
3.3 Crank–Nicolson method 24
3.4 The problem of boundary conditions 25
3.5 Application of implied volatility 26
4. Application of the framework to Cash-or-nothing and Supershare options 29
4.1 Cash-or-Nothing options 29
4.2 Asset-or-Nothing options 31
4.3 Supershares 32
5. Numerical experiments results of European call option prices 36
5.1 Results of European vanilla options 37
5.1.1 Equidistant grids 37
5.1.2 Plots of option price of a call 39
6. Conclusion 42
6.1 Researching Results for the Research Questions 42
6.2 Limitations 42
Reference 44
Appendix A. Notations used in this dissertation 46
 

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