衍生證券定價(jià)理論前言(參考版)
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【正文】 19,35172.。Estimates,andvolatility:underOption17788.Wigginsstructure,thecharacterizationAn351.Vasicekreview,pricing:(1976),W.PrenticeHall.Smith,Cliffs,Investments,F.88(3),350370.Sharpe,Review,Americanenvironment,aDerivativesM.6,Managementpricing,ofRational251258.Samuelson.withoncallunprotectedformulaAn479508.Roll.offshorepetroleumcaseassets:onofOptionSmithSiegel88(3),EconomicReview,TheYearsTheory:of141183.——,1973,andofBellOptionof.,25,AppliedMathmaticsIndustrialSocietydecisioninIto’s12131243.Malliaris.capitalmanagementcosts,(1998),50,risk,tosecuritiesonPricingTurnbull2059.Jarrow.pricingbondAn789819.Jamshidiamdebt,floatingfixedvaluingapproachASchwartz57392.Longstaffinterestratederivative(1990),and.continegentinterestandstructure(1986),and6,options,bondandapplicationsvolatilitywithforclosedform(1993),60,newmethodology,rates:oftermandBondMortonJarrow15,Process.markets,trading:ofcalculusA190。11,Appl.,trading,stochasticoftheintegralsandS.andJ.20,Theory,JournalsecuritiesinandD.,andJ.39,analytically,optionAmerican(1984),and32,AppliedJournalofmeasures,ofnumeraire,ChangesRochetKaroui23137.Geman,andFinanceInternationalJournaloptionForeignKohlhagenPress.GarmanPricingPrinceton,Pricing,Dynamic21143.Duffie,ResearchReviewjumpdiffusionpricingandDiscretetime22963.Dassimplifiedpricing:Rubinstein(1979),RossEconometricaintereststructurethetheory（1985）,and,1267321.Cox,securityMethodsMonteGlassermanBroadie,58,ofinvestments,natural(1985),and,AcontingentthepricingaricingjumpmethodsFiniteandM.4,F.approach,MonteOptions:P.637659.Boyle,PoliticalEconomyJournalcorporateoptionspricing(1973),M.F.46,Analysisoptions,toitsratesofonefactor(1990),and16779.Black,contracts,pricing139158.Black（1976）,Appl.pricing,ofthe(1984),.42,optionofanalytical(1987),andpp.MA:MITPrices,ofStockRandom(ed.),P.speculation,Theory(1998)ReferencesBachelier,(1995)考慮兩種信譽(yù)風(fēng)險(xiǎn)，一種是標(biāo)的資產(chǎn)違約風(fēng)險(xiǎn)，一種是衍生證券的寫者違約。and(1995)公司風(fēng)險(xiǎn)債務(wù)定價(jià)。and信譽(yù)衍生證券要求我們把信譽(yù)風(fēng)險(xiǎn)和通常的利率風(fēng)險(xiǎn)等分開(kāi)。而場(chǎng)外衍生證券的快速增長(zhǎng)，要求我們?nèi)ザ攘俊⒐芾?、加以和?duì)沖違約風(fēng)險(xiǎn)。Rubinstein（1979）二項(xiàng)樹方法RossCarlo(1997)andBoyle,(1977)(1997)(1978)and當(dāng)原始模型的簡(jiǎn)單假設(shè)被放松以后，我們往往求助于數(shù)值算法。計(jì)算方法BlackScholesMerton利用最優(yōu)停時(shí)問(wèn)題來(lái)研究美式期權(quán)定價(jià)問(wèn)題。Bensoussan(1987)and把美式看跌期權(quán)價(jià)格分析解表示成無(wú)窮序列的復(fù)合期權(quán)的價(jià)格。JohnsonGeske利用三個(gè)歐式看漲期權(quán)的結(jié)合體來(lái)逼近以支付紅利股票為標(biāo)的物的美式看漲期權(quán)。美式期權(quán)
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