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              首頁 - Essay代寫范文 > Essay代寫范文-options are financial derivatives

              Essay代寫范文-options are financial derivatives

              發布于:2023-06-06 作者:zhangxin 閱讀:642

              下面為大家整理一篇優秀的Essay代寫范文--options are financial derivatives,文章描述本文主要研究了美式期權,它是一種金融衍生產品,討論了美式期權的價值如何和未來價值變化,以及美式期權定價的方法,并最終得出結論。

              Essay代寫范文

              第一章-簡介

              美式期權是一種金融衍生工具,其價值來源于基礎資產,通常是股票。Black and Scholes(1973)把這種期權描述為:“在特定的時間內和一定條件下,給予購買或出售資產的權利的證券。

              本論文的主要問題是美國期權價值如何。無論是不是在成熟期,當期權被行使時,期權價值是唯一已知的。當所有者決定行使期權或期權到期時間時,有可能確定期權的價格,因為在條件優惠的情況下,該資產將由該資產進行交易。當一個人購買期權的時候,她不知道潛在資產的未來價格是什么,假設它遵循一個隨機過程,很難把價格放在這樣的合同里,而不知道價格怎樣變化。期權的這種非線性特征使得計算這類合同的價格是一個具有挑戰性的過程,將一直成為大量的金融研究和出版物的焦點。

              本論文主要研究了美式期權定價及其在MATLAB?實施的最流行的方法,包括圖形用戶界面。

              研究的方法包括:Black和Scholes(1973)以歐洲期權定價為出發點,其次是Barone Adesi和Whaley(1987)的近似解析。然后是Cox的二項式和三項式點陣方法,Ross和Rubinstein(1979)也被認為是作為AAA有限差分近似模型。Monte Carlo模擬,Longstaff和Schwartz提出的最復雜的方法是最小二乘(2001)。

              本文分析了不同的期權定價方法,主要遵循了Black和Scholes(1973),短期利率和股息被認為是已知的,恒定的,基礎股票服從對數正態分布的幾何布朗運動,市場是無摩擦的,最后它的存在形成一個無風險投資組合的可能性,包括期權和股票。

              American Options Are Finanical Derivatives

              第一章-簡介-Chapter 1-Introduction

              American options are financial derivatives,an instrument whose value is derived from an underlying asset,usually a stock.Black and Scholes(1973)described an option as:"a security giving the right to buy or sell an asset,subject to certain conditions,within a specified period of time".

              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 environment,also as the procedures for the development of the GUI for easier user interface.

              On Chapter 5 results and their comparison are shown for the different methods used,with the required figures to support the numerical answers.

              In the final chapter the dissertation is concluded and a summary of the findings is provided,also as with further work on this subject.


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