不確定環(huán)境下幾種新式期權(quán)的定價(jià)問題.pdf

1、上海師范大學(xué)碩士學(xué)位論文不確定環(huán)境下幾種新式期權(quán)的定價(jià)問題姓名：徐建強(qiáng)申請學(xué)位級別：碩士專業(yè)：應(yīng)用數(shù)學(xué)指導(dǎo)教師：彭錦20100401上海師范大學(xué)碩十論文AbstractOptionisaneffectivetoolforhedgingandavoidingriskNewoptionsarederivedfromstandardoptionsCorrectlyoptionpricingisthebasisoftakingonitsfunc

2、tionThepriceofanoptionisinfluencedbymanyaspectsOntheonehand，duetObeingdisturbedbyobjectivefactors，somevariablescallnotbeaccuratelyestimatedbydata，andsomedatabytheobservationandstatisticswillinevitablyproduceerrors；Ontheo

3、therhand，peoplearealwayswithsubjectivejudgmentwhentlle)rwillinvestBecausenewoptionsaremorecomplicatedthanstandardoptions，thenewoptionspricingproblemalemuchmorecomplexthanstandardoptionsBasedonthetraditionaloptionpricingm

4、ethods，thispaperanalyzestheexistentmethodsarenotall—inclusive，andwediscoverthatthepracticaloptionpricingproblemisalwaysaccompaniedbytherandomnessandfuzzinessIn2009，Europeancallandputoptionpricingformulasunderuncertainenv

5、ironmentareproposedbyLiuComprehensivelyapplyingrelativeknowledgeofuncertaintytheoryonthebasisoftheassumptionthepriceofunderlyingassetsfollowsgeometriccanonicalprocess，thispapergetssomeeasytouseresultsforinvestorsByusingo

6、ftheMATLABprograms，weverifytheseresultsmayprovidesomereferencevaluesforinvestorsThispaperisstructuredasfollows：First，wesummarizetheorigin，development，modelsandmethodsoftraditionaloptionpricingtheoryThesecondchapterintrod

7、ucestherelativeknowledgeofuncertaintytheoryThefollowingsectionsassumethatthepriceofunderlyingassetsfollowsgeometriccanonicalprocessChapterⅢgetsthepricingexpressionsofrainbowoptionsunderuncertainenvironmentInchapterIVtheb

8、arrieroptionspricingunderuncertainenvironmentarediscussed；Intheend，westudyseveralkindsofspreads(Bullspreads，Bearspreads，Butterfly—shapedspread)andgivesomeexamplesKeyWords：UncertaintytheoryOptionpricing，Newoptions，Rainbow