數(shù)量金融特異期權(quán)定價-文庫吧在線文庫
【正文】 某確定邊界時，期權(quán)失效，payoff為 0（或者 payoff為 R, 稱為 Rebate）。1 第十講 特異期權(quán)定價 期權(quán)定價回顧 . 偏微分方程的有限差分解法 . 蒙特卡羅模擬 . 障礙期權(quán)的簡介和靜態(tài)對沖 . 期權(quán)定價回顧 （參見：衍生產(chǎn)品定價Lecture 6） 2 Assumptions i. Trading takes place continuously in time. ii. The riskfree rate r is known and constant over time. iii. The asset pays no dividend. iv. There are no transaction costs in buying or selling the asset or the option, and no taxes. v. The assets are perfectly divisible. vi. There are no penalties for short selling and the full use of proceeds is permitted. vii. There are no arbitrage opportunities. viii. The asset price process is given by ? ? ttt dZdtSdS ?? ?? 期權(quán)定價回顧 3 考慮由價格為 V(St, t)的衍生產(chǎn)品（支付記為 payoff）和基本資產(chǎn)構(gòu)成的如下投資組合 : 賣空一單位衍生產(chǎn)品 +持有 單位基本資產(chǎn) 此投資組合為無風險投資組合，回報率為 r。 In option（觸碰生效期權(quán)） 當基本資產(chǎn)價格觸碰某確定邊界時，期權(quán)生效，直到到期日。 ?對某些事件發(fā)生概率的估計過高，或者過低。 在面對獲利時，人們?yōu)轱L險厭惡的；面對損失時，人們?yōu)轱L險喜好的。 0,). ?Choose between C=(4000,。 Gambler’s fallacy effect： If a fair coin generates five heads in a row, people will say that “tails are due.” 信念（ Beliefs） 35 保守主義（ Conservatism） Edwards (1968): There are two urns, one containing 3 blue balls and 7 red ones, and the other containing 7 blue balls and 3 red ones. A random draw of 12 balls, with replacement, from one of the urns yields 8 reds and 4 blues. What do you estimate the probability that the balls were drawn from urn A? 信念（ Beliefs） 36 可得性偏差（ Avail
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