【作者】 王明善；

【导师】 刘克峰；

【作者基本信息】 浙江大学 ， 基础数学， 2009， 硕士

【摘要】 期权是20世纪金融衍生市场创新的成功典范。期权市场已经成为国际金融市场的一个重要部分。本文介绍了期权定价理论的发展历程,并且详细介绍了几种重要的模型,包括Black-Scholes模型,二叉树模型,跳跃扩散模型和随机波动率模型,和Levy过程模型,我们还介绍了倒向随机微分方程在期权定价中的应用。对各种模型做了客观的评价,并展望了未来期权定价理论的发展方向。更多还原

【Abstract】 Option was the successful innovative example of the financial derivative market in the 20th century. And options market is an important part of the global financial market. In this paper, we introduced the development of options pricing theory, and some main models in detail, including Black-Scholes model, BOPM, jump diffusion model, stochastic volatility model, and Levy process model. We also introduced the application of the backward stochastic differential equations in options pricing. We evaluated the above models objectively, and envisaged the future of options pricing.更多还原