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论文作者:meisishow论文属性:作业 Assignment登出时间:2014-09-02编辑:meisishow点击率:5947
论文字数:2882论文编号:org201409021407099834语种:英语 English地区:英国价格:免费论文
关键词:期权价值American OptionsFinanical Derivatives金融衍生品
摘要:美国期权是金融衍生品其价值来源于一个潜在的资产,通常一个股票。黑色和斯科尔斯(1973)描述了一个现像:“安全给予买入或卖出一种资产的权利,在一定的时间之内会受到一些条件的限制”。
这篇论文讨论的主要问题就是美国的期权价值如何。当期权在运行过程之中它的价值是唯一已知的肯定项。选项值是唯一已知的选择就是到期或者不到期。当老板决定行使期权或是选择成熟时间行使时,可以确定的价格选择停止,将交换资产转变成对所有者有利的条件。当一个购买选项不知道基础资产的未来价格,我们可以假设它是一个随机过程,在合同定价时也不知道该如何变化。这是一种非线性特性的选项,这样可以让用户计算代价,制定合同也是一个挑战性的过程,这已在大量的金融研究的出版物中加以体现。
本文是处理当下最普及的美式期权定价问题方法及其如何实现的相关程序®,其中包括一个图形用户界面。
The main question of this dissertation is how American options can be valued. The option value is only known with certainty when the option is exercised, either at maturity or not. When the owner decides to exercise the option or it is the option maturity time, it is possible to determine the price of the option as the strike will be exchanged by the asset in the case that the conditions are favourable for the owner of the option. When the one buys the option, she does not know what will be the future price of the underlying asset, and assuming it follows a random process it is hard to put a price on such contract without knowing what will be the price change. This non linear feature of the option makes calculating the price to pay for such contracts a challenging process and has been the focus of a large number of financial studies and publications.
This dissertation deals with the most popular methods for pricing American options and their implementation in MatLab®, including a graphic user interface.
The methods studied include the Black and Scholes (1973) European option pricing as the starting point, followed by the Barone Adesi and Whaley (1987) analytical approximation. Then the binomial and trinomial lattice methods presented in Cox, Ross and Rubinstein (1979) are considered also as the Finite difference approximations models AAA. The most sophisticated method is the Least Squares Monte Carlo simulation presented in Longstaff and Schwartz (2001).
The analysis of the different option pricing methods in this dissertation follow most of the assumptions made by Black and Scholes (1973), the short term interest rate and the dividend are assumed to be known and constant, the underlying stock follows a log normal distributed geometric Brownian motion, the markets are frictionless and finally it exists the possibility of forming a riskless portfolio, consisting of the option and underlying stock.
The dissertation is organised as follows: a brief literature survey is provided in the next Chapter. The analytical approximation method and the numerical methods used are described on Chapter 3 and their implementation in Matlab environment is given in chapter 4. Numerical results are given in Chapter 5. The conclusion and future developments are presented in Chapter 6.
Chapter 2 provides a survey of some of the most relevant publications in American Option Pricing, with focus on analytical approximations, lattice and finite difference methods, more precisely, binomial and trinomial trees, explicit, implicit and Crank Nicolson Scheme, and also on Monte Carlo Simulation.
Chapter 3 provides a description of the methods used, their advantages, disadvantages and limitations. Here the required equations will be derived and the solution for the pricing of American options will be provided.
Chapter 4 focus on the algorithms used and their implementation on the MatLab environm本论文由英语论文网提供整理,提供论文代写,英语论文代写,代写论文,代写英语论文,代写留学生论文,代写英文论文,留学生论文代写相关核心关键词搜索。