1、廣西師范大學(xué)碩士學(xué)位論文二類亞式新型期權(quán)定價(jià)姓名：何榮國(guó)申請(qǐng)學(xué)位級(jí)別：碩士專業(yè)：概率論與數(shù)理統(tǒng)計(jì)指導(dǎo)教師：鄧國(guó)和20080401廣西師范大學(xué)碩士學(xué)位論文ValuationsfTwoTypesofAsianExoticOptionsPostgraduate:HeRongguoSupervis:DengGuoheSpecialty:Probabilitythey&MathematicalStatisticsResearchFields:Fi

2、nancialStatisticsGrade:2005AbstractInrecentyearsalongwiththerapidgrowthinglobalfinancialmarketstheimprovementofdemsonthecomplexityinfinancialmarksthereareagreatnumberofexoticoptions(calledpathdependentoptionsnostardoptio

3、ns)whosebothtransactionspricesaremeflexibleconvenientinfinancialmarkstheseoptionsprovideawiderangeofinvestmentspaceaswellasinterestslowerrisk.Recentlymanyfinancialinstitutionscontinuestointroducenew”combinationtype”finan

4、cialderivativesindertomeettheneedsofthegrowingfinancialmarket.Variousexoticoptionsembedmutuallyembedwithannewcontracttermssoastoachievemeinlinewiththerequirementsfinvestsinthemarkettocomplywiththelawsofmarketdevelopmentt

5、oraisetheabilityofriskaversion.TheAsianResetoptionsthefwardstartingAsianoptionsarebothsuchtwoexoticoptionswhichembedwithsomenewcontracttermsinthegeneralAsianoptions.FexampletheAsianResetoptionsisthattheResetoptionsembedi

6、ntheAsianoptionswithresettingstrikepricefeature.Theseexoticoptionshavebeentradedinthemarketarelikedbytheinvests.Howtopricetheseoptionshasbecomeamaintopicinmodernfinancialtheeticalresearchpracticalapplication.Thispapercon

7、sidersthepricingoftwoexoticoptionsincludesmainlyasfollows:Chapter1introducesthesignificanceofstudyingonoptionstheliteraturereviewsontheAsianoptionstheResetoptionstheexoticoptionschoicebasesmainstructureofthispaper.InChap