多標(biāo)的資產(chǎn)衍生證券的定價(jià)及應(yīng)用研究.pdf

1、復(fù)旦大學(xué)碩士學(xué)位論文多標(biāo)的資產(chǎn)衍生證券的定價(jià)及應(yīng)用研究姓名：陳辰申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：數(shù)量經(jīng)濟(jì)指導(dǎo)教師：唐國興2001.5.20AbstractFromthe80’Softim1astcentury，financialderivativesandexoticoptionshavebecolneilnportantinthefieldoffinanceChinesecapitalmarketISanewemergentnaarketan

2、dtherearefeWderivativesecurities，howevegthepackagesdesignedbyfinancialinstitutionsandothercontingentclaimsdependingOilthestockindicesort11estocksthemselvesareabstractinginvestors’attentionsUndertheconditionthatthine’sonl

3、yequitymalketforthecommonChineseinvestors，andatthesametimetherearenotoolsforthemtohedgethehighrisks、developingthederivativesmarketiSbecomingakeytoconsummatetheChinesecapitalmarketInthisdissertationtheauthorintroducesthed

4、erivativesunderlyingseveralriskyassetsanddemonstrates1lOWtoanalyzeatradedcontingentclaims—GlobalEBExpress，whichisacontingenteuro—yenexchangeablebondThentheauthorwritesdownitspricingsolutionintheshapeofBlack—Sholesformula

5、，andcomparestheresultwiththesolutionoftheMonteCarloSimulationThisdissertationalsoillustratestheprocedureforthepricingunderthelessassumptionsFinally，theauthorSinmlatesthetechniquestohedgetiletradedGlobaIEBExpressTilecontr

6、ibutionsofthisdissertationareasfollowingsIresentingtwosimple，intuitiveapproachestowritedownthesolutionforthederivativesOilthemaxinmmortheminimumofseveralriskyassets；IntroducingtheengineeringmethodEMalgorithmicandOaussian

7、MixtureModelintothefinancialpricingtoamelioratetheMonte—CarlosimulationIt’SalsotileinnovationandessenceinthisdissertationUsingtilesystematicapproachesfromthefinancialengineeringtotrackthedcsignel—Sideasandlneasuresforcon