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随机型创新幂式期权以其结构简明、风险可控而受到投资者青睐。针对传统方法求解随机型期权存在的困难,提出用测度变换方法解决随机幂式期权的定价模型。受鞅定价方法的启发,推广计价单位的选取以获取相应的等价测度变换,得到随机利率情形下具有一般支付函数的测度变换公式;以此为基础选取远期债券为计价单位,并考虑债券价格波动和股价波动的相关性,可以方便地推导出随机型幂式期权定价模型。通过对模型风险特征的数值模拟分析,说明了幂型期权的优势所在。此项研究结论对金融衍生产品的发行者和投资者具有一定的理论借鉴意义。
Stochastic innovative power options are favored by investors for their concise structure and controlled risk. In view of the difficulty of solving the random option by the traditional method, this paper proposes a measure transformation method to solve the pricing model of stochastic power option. It is inspired by the martingale pricing method to promote the selection of the pricing units to obtain the corresponding equivalence measure transformation and obtain the measurement transformation formula with the general payment function in the case of stochastic interest rates. Based on this, the forward bond is selected as the unit of valuation and the bonds The relationship between price volatility and stock price volatility, we can easily deduce the stochastic exponential pricing model. Through the numerical simulation of the risk characteristics of the model, the advantage of the power option is illustrated. The conclusions of this study have certain theoretical reference to the issuers and investors of financial derivatives.