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金融衍生工具的发展是当今国际金融领域里的新旋律,期权作为金融衍生工具的核心,成为理论界研究的重点和热点,其中如何对期权进行定价和风险对冲是必须解决的首要问题。 本文利用鞅方法探讨了亚式期权定价和风险对冲问题,首先介绍了期权定价原理并以B-S框架下欧式期权定价和套期保值为基础,主要进行以下两个方面的研究工作:1.亚式期权具有强路径依赖性,定价较为复杂,本文通过变换计价单位,并结合测度变换定理,给出了变系数B-S模型下几何平均执行价格型亚式期权定价的更为简便的推导方法,得到了理想的定价公式,并进一步给出了其套期保值策略;2.探讨了随机波动率模型下亚式期权定价与套期保值问题,首先对该模型下市场的完备性给出了证明,在此基础上应用鞅方法给出亚式期权定价的一般表达式及近似解。
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唐玲 安徽建筑大学副教授 研究方向：应用统计与风险决策，金融衍生资产定价
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