期权定价研究--考虑上海期货交易所交易规则的期权定价

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1、Y995705分类号————UDC．．．．．．．．。．，．．．．．．．．．。．——密级——编号——复旦大学博士后研究工作报告期权定价研究一一考虑上海期货交易所交易规则的期权定价工作完成曰期2QQ垒生8旦：2QQ§生S旦报告提交日期——2Q逝生§旦复旦大学(匕海)20061i{二6月会成本、复制策略调整的时间间隔以及标准的期货期权定价参数有关·并且，本文给出的经过调整的复制策略并不是不考虑交易成本的B1ack定价模型复制策略的平行结果，它能够随着复制时间间隔减小，使得复制误差的均值和方差都几乎处处收敛到零，且与市场风

2、险无关。关键词：期货期权定价，交易保证金，涨跌停板，交易手续费，做市商，风险控制，倒向随机微分方程4内容摘要ABSTRACTChina’Sfuturesmarkethasdevelopedformorethanadecade，andbynOW,thevarietyofthefuturestradedinchinastilllimitedtocommoditiesfuturescontractsinfuturesexchanges．Comparedwiththeforeignfuturesmarkets，therei

3、sagreatdistanceinthefuturesvarietyandthecorrespondingtradingrules．BuildingupderivativesmarketSOastoexertfullyitsabilitiesonriskmanagementandpricediscover,inaddition，itwillhelptoallocatetheexitingresourcesreasonablyandstabdizetheeconomic．Accordingly,thegovernme

4、ntwallhaveexactlydynammeconomicinformation，andmanymeansareusedtodevelopfinancialmarkets．ItisnecessarytodevelopChinesefuturesmarketbytradingfuturesoptions’contractssoastoestablishacompleteproductsystem．Inthispaper,welookontheShanghaiFuturesExchange’stradingrule

5、sasafoundationstonewhenconsideringthepricingmodelsofthefuturesoptions．Inturn，combiningregulationsonadmimstrafionofmarketInakel'SintheShanghaiFuturesexchange，somesuggestionsonhowtocontroltlleirrisksaregiven．’Thesecondsectionstudiestheeffectsofchangingmarginleve

6、lsonthepriceoffuturesoptionsandhowtoorganizeamarketmaker。SpositionandmanagehisriskpositiorLBlackmodel(1976)becomesaspecialcaseofourresult．ThepaperpricesfuturesoptionsbyduplicatingthemandadoptingthetheoryofBackwardStochasticDifferentialEquations(BSDEsforshort)．

7、Furthermore，thepriceofafuturesoptionistheuniquesolutionofanonlinearBSDE，andthestochasticmethodofBSDEsisusedt0calculateoption'sprice．Inthethirdsection,wepresentavaluationmodeloffuturesoptionstradingatexchangesincludinginitialmarginrequirementsanddailypricelimit

8、，andthisresultgivesanacademicguidancet0designtradingrulesatexchanges．UnliketheleadingworkofBlackandScholes(1973)，weadopttwomethods-----GeometricBrownianMotionwithtwoabsorbingbounda