奇异期权

自从上个世纪70年代初，B-S期权定价公式出现以后，期权市场得到了迅猛发展，在标准期权的基础上，衍生出了各种各样的奇异期权。

Since the appearence of B-S pricing formula at the beginning of 1970 's , the option market has been developed quickly . On the base of standard option , many exotic options are derived .

随机利率下两种奇异期权的定价

Pricing of Two Kinds of Exotic Options under the Stochastic Interest Rates

Ornstein-Uhlenbeck过程下的奇异期权定价

The Pricing of Exotic Option under the Ornstein-Uhlenbeck Process

本文利用不同的方法研究标准期权和奇异期权的定价，一种方法是倒向随机微分方程方法，一种是Monte-Carlo方法。对标准欧式期权和两种典型的奇异期权进行数值计算并加以比较。

One approach is Backward Stochastic Differential Equations methods , the other one is the Monte-Carlo method . It calculates Standard European options and two kinds of exotic options with both of the methods , and then compares the results for these two methods .

并且介绍了一种奇异期权&障碍期权的概念。

Then a kind of exotic option __barrier option concept is presented .

两类奇异期权的定价方法研究

The Research of Two Exotic Options ' Pricing

亚式期权是当今金融衍生产品市场上交易最为活跃的奇异期权之一。

Asian option is one of the most active exotic options in the financial derivatives market .

文章首先给出了一种奇异期权&障碍期权的涵义；

The meaning of a kind of exotic option , the barrier option , is presented .

奇异期权按标的资产的多少可以分为单资产期权和多资产期权。

Exotic Options by the number of underlying assets can be divided into single-asset and multi-asset options .

亚式期权是交易最为活跃的奇异期权，对它的研究一直受到广泛关注。

Asian options are the most actively trading exotic options , the research of Asian options has attracted widespread attention .

本文利用鞅方法重新推导出了欧式期权和一些奇异期权的定价公式。

In this paper , we derive the pricing formulas for European option and exotic options by using Martingale method .

为了满足金融市场的不断发展，各种新型期权、奇异期权应运而生。

In order to adapt to the continuous development of financial markets , a variety of new options , exotic options came into being .

本文对于亚式期权和没事期权价格估计的方法给出一个很好的起点，为了解更多关于定价更复杂的选项（奇异期权），如亚式期权定价办法提供了很好的模型。

This paper give a good starting point to learn more about pricing more complicated options ( exotic options ) such as Asian option , digital option .

目前主要的发行者为国有控股商业银行，产品种类则主要集中在以美元、澳元及人民币计价的内嵌奇异期权的中期存款。

Currently , the most portion of products are medium-term deposits embedded exotic options , priced in USD , AUD and CNY and issued by state-owned commercial banks .

亚式期权作为一类奇异期权，其到期收益函数依赖于标的资产有效期内某种形式的路径平均。

To be one of the exotic options , the time to maturity function of Asian option depends on the average path of underlying asset in some periods .

奇异期权的奇异意指结构奇特，前所未有，或者为期权的期权，打包期权，或者为亚式期权，回望期权。

Singular means that the structure of exotic options peculiar , unprecedented , or the option for the options , package options , or for Asian options , lookback options .

本文在标的资产价格服从几何分数布朗运动模型假设下，求出了在标的资产有红利支付时的欧式未定权益的一般定价公式及几种奇异期权的定价公式。

Under the hypothesis of underlying asset price submitting to Geometric Fractional Brownian Motion , we obtain the generalized pricing formula of European contingent claim and the prices of some exotic options .

除了常规期权，近年来出现了很多由常规期权变化、组合和派生出来的更复杂的衍生证券，统称为奇异期权。

In addition to conventional options , in recent years , there have been many complex derivative securities changed , combinated and derived from the conventional options , referred to as exotic options .

因为这些奇异期权实际上是标准期权的创新，因此和标准期权也有很大的关系。

The reason it calculates the traditional European options is that most of exotic options are the innovation from the tradition ones , therefore the exotic options and the standard ones have a great relationship .

影响奇异期权价格因素的多样性导致了其定价异常复杂，因此定价问题是奇异期权理论的核心问题之一。

The price of exotic option may be affected by various factors , which lead to the complexity of exotic option pricing , so one of critical problems in the theory of exotic option is how to price it .

假设利率是随机利率，在全面地考虑基础变量&债券和股票的价格行为特征的基础上，利用鞅方法推导了随机利率下两种奇异期权定价公式。

Supposing that the interest rates is stochastic interest rates , this paper derives the pricing formulas of the two exotic options under the stochastic interest rates by applying the martingale method . We consider comprehensively the price action characters of the basic variables-bond and stock .