l233;vy過程下的障礙期權定價研究

1、上海交通大學碩士學位論文Lévy過程下的障礙期權定價研究姓名：張琳申請學位級別：碩士專業(yè)：應用數學指導教師：林建忠20071101????????????RESEARCH ON BARRIER OPTION VALUATION DRIVEN BY LEVY PROCESSABSTRACTAs one of the derivative securities, the option takes an important posi

2、tion infinancial market for the last twenty years, it has been developing rapidly as aninstrument for arbitrage,risk prevention and avoid more losses due to unfavorableprice changes. Therefore, the importance of the opti

3、on valuation in derivativesecurities and financial mathematics has never been overestimated.The Barrier Option is an exotic option whose payoff at expiry depends on assetprice fluctuations during the option’s lifetime. I

4、t can be classified as two classes:Knockout Option,when the price of the underlying asset arrives at a special barrier H, theoption is out; the other is Knock in option, which only has effect when the pricearrives at a b

5、arrier. Forward Option is a contract determined now but has payoff inthe future. Combination with these two options, there will be a new option namedForward Barrier Option with both properties of those options mentioned

6、above. Thisnew option is main object for which we care in this thesis.This thesis mainly include two core conclusions: 1. In Black-Scholes Model,where all underlying asset price processes follow geometric Brownian motion

7、 withconstant volatilities, the formula in closed form for European Forward Barrier calloption valuation is given by martingale method. And the proof is given. 2. InGaussian HJM framework, the formula in closed form for

8、the valuation of EuropeanForward Barrier call option on coupon bonds is given by forward measure approachin forward rate model. And the proof is given.KEY WORDS: option valuation, Forward option, Barrier option, martinga