关于新型期权及其定价模型的研究3

Vol.14,No.3JournalofIndustrialEngineeringöEngineeringManagement20003[]1999210225[],7100493(79670076)3,,,,,;;;:F830.9:A:100426062(2000)032005620570,20,(OTC),,,,,,,1:,;,,,,,,[1]:1),2),,,,3),,,,2Black-Scholes,,,Black2Scholes(B-S)[2,3]:1);2)65,;3);4);5)st,():ds=Lsdt+RsdZ(1),L;R:dZWienersf(s,t):5f5t+rs5f5s+12R2s252f5s2=rf(2)r,(2)B-S,[4,5],C(s,t),T,E,:C(s,T)=MAX(s-E,0)(3)C(s,t):C(x,t)=sN(d1)-Ee-r(T-t)N(d2)(4),d1=In(söE)+(r+R2ö2)(T-t)RT-t,d2=d1-RT-t,N()P(s,t):P(s,t)=C-s+Ee-r(T-t)=Ee-r(T-t)N(-d2)-sN(-d1)(5):(1)B-S,,;(2)(5)N(d1)N(d2)N(d1)(5Cö5s,Delta),N(d2)sE;(3)st,,3,,,,B-S311,,,A;,:CB(s,T)=AH(s-E)(6),CB(s,t),H(S)=0,S01,S0,:CB(s,t)=Ae-r(T-t)N(d2)(7)312,t1(t1T),,t1s1,:MAX(C,P)(8),(8):MAX(C,P)=MAX(C,C+Ee-r(T-t1)-s1)=C+MAX(0,Ee-r(T-t1)-s1)(9)(9)TEt1Ee-r(T-t1,313,,()()()1(ö)Cb(s,t),B-S,:75Vol.14,No.320003Cb(X,t)=0(10)Cb(s,T)=MAX(s-E,0),sX(11),X,XE,:Cb(s,t)=C(s,t)-(söX)-(k-1)C(X2ös,t)(12),k=2röR2,,,X,,X,,,,Pb(s,t):Pb(s,t)=C-Cb(13)4,,st,,,,st,:I=t0f(s(S),S)dS(14)V(s,I,t)ITO,V(S,I,t):dV=12R2S252V5S2+LS5V5S+5V5t+f(S,t)5V5Idt+RS5V5SdZ(15)0:0=V-$s(16)dt,0:d0=Rs5V5SdZ+12R2s252V5s2+Ls5V5s+5V5t+f(s,t)5V5Idt-$(Lsdt+RsdZ)(17)$,(17),$=5Vö5s,,:d0=dV-$ds=r0dt(18):5V5t+f(s,t)5V5I+rs5V5s+12R2s252V5s2=rV(19),,(19)411,,;,Pl(s,J,t),:Pl(s,J,T)=MAX(J-s,0)(20),J=MAX)FSFTs(S)In:In=t0(s(S))nS(21)Jn=(In)1ön,:J=limn(In)1ön(22)(21)(19),Pl(s,J,t):5Pl5t+1nsnJn-1n5Pl5Jn+rs5Pl5s+12R2s252Pl5s2=rPl(23)n,B-S,,:s=Jex,t=T-2SöR2,Pl=Jv(x,S)(24)(24)(23),:5v5S=52v5x2+(k-1)5v5x-kv(25),k=2röR2,v(x,S):v=eAx+BSu(x,S)(26),A=-12(k-1),B=-14(k+1)2(27)(26),:5u5S=52u5x2,-x+,S=0(27)(28)[5],:u(x,S)=-u(x,0)e-(x-s)2ö4Sds(28)85:,u(x,0)=MAX(e12(k-1)x-e12(k+1)x,0)(28)u(x,S),,Pl(s,J,t):Pl(s,J,t)=s(-1+N(d3)(1+k-1))+Je-r(T-t)(N(d4)-k-1SJ1-kN(d5))(29),d3=In(Jös)+(r+R2ö2)tRT-t,d4=In(Jös)-(r-R2ö2)tRT-t,d5=In(söJ)-(r-R2ö2)tRT-t,k=2röR2412[0,T]ECa(s,Ia,t),:Ca(s,Ia,T)=MAX1TIa(T)-E,0(30),Ia,:Ia=t0s(S)dS(31)(19),Va(s,Ia,t):5Va5t+s5Va5Ia+rs5Va5s+12R2s252Va5s2=rVa(32)s1TIa(T),(32)(I(t)Ia(),I(t)[6]:I(t)=s(0)eY(t)(33),Y(t)N((Lq-Rl2ö2)t,Rl2t):E1TIa=E1TT0s(S)dS=s(0)rT(erT-1)(34)E(I)=s(0)eLqT(35)E1TIa2=2s2(0)T2(r+R2)e(2r+R2)T-12r+R2-erT-1r(36)E(I2)=s2(0)e(2Lq+Rl2)T(37)I(t)Ia,:s(0)rT(erT-1)=s(0)eLqT2S2(0)T2(r+R2)e(2r+R2)T-12r+R2-erT-1r=S2(0)e(2Lq+Rl2)T(38):Lq=1TInerT-1rTRl2=1TIn2r2(r+R2)(erT-1)2e(2r+R2)T-12r+R2-erT-1r(39),Ca(s,t):Ca(s,t)1-er(T-t)r(T-t)(sN(dq1)-Ee-Lq(T-t)N(dq2))(40),dq1=In(söE)+(Lq+Rl2ö2)(T-t)RlT-t,dq2=dq1-RlT-t413(T=3ö12=0125),E40,R25à,r5à()2(:ö)S36()40()50()0.682.1610.580.0931.189.46(X=35))0.482.1310.0757.0864.2080.25,,,,95Vol.14,No.320003,,()15,V(s1,s2,t)s1,s2,s1,s2:ds1=L1s1dt+R1s1dZ1(41)ds2=L2s2dt+R2s2dZ2(42)Q,:dZ1dZ2=Qdt(43)ds1ds2=R1R2s1s2QdZ1dZ2=R1R2s1s2Qdt(44),V(s1+ds1,s2+ds2,t+dt):dV=5V5tdt+5V5s1ds1+5V5s2ds2+12R21s2152V5s21+2R1R2s1s2Q52V5s15s2+R22s2252V5s22dt(45)Ê:0=V-$1s1-$2s2(46)$1=5V5s1,$2=5V5s2,,:d0=dV1-$2dV2-$1ds=r0dt(47):5V5t+s15V5s1+s25V5s2+12(R21s2152V5s21R22s2252V5s22+2R1R2s1s2Q52V5s152=rV(48)6,,,(),,,1,1[M]1:,199812943082Black,Scholes.ThePricingofoptionsandCorporateLiabilities[J].JournalofPoliticalEconomy,1973.81(7):6376553,1[M]1:,199713994474PoulWilmott,SamHowynne.TheMathematicsofFinancialDerivatives[M].London:CambridgeUni2versityPress,1995.586751[M].:,1982.198361[M]1:,19871220227:06:ByDAIGeng-xin,DAQing-li(DepartmentofManagementScienceandEngineering,SoutheastUniversity,Nanjing210096,China)Abstract:Inthispaper,thejointorderstrategyofmultipleproductsunderMultipleStagesEconomicOrderQuantitiesisstudied.Thetotalcostofindependentordersandjointordersaregivenandtheoptimizedstrategyofjointordersissolved.Bythestagecostanalysis,theconditionwhenjointordersismoreeffi2cientthanindependentordersispresented.Keywords:jointorder;multiplestagesEOQ;multipleproductsStudiesonExoticOptionsandIts’PricingModel(56)ByZHENGXiao-ying,CHENJin-xian(ManagementSchool,Xi’anJiaoTongUniversity,Xi’an710049,China)Abstract:Thispaperanalysestheoriginsandcharacteristicsofexoticoptions,andtheclassesofexoticop2tionsarecatalogued.BaseduponthestudyofBlack2Scholesmodel,thepricingmodelsarederivedwhichcorrespondtotheircharacteristics.Furthermore,thepath2dependentoptionsarediscussedandits’pricingmodelarecreatedincludingpath2dependentfactor.Thepricingmodelsofmulti2factoroptionsareprospectedattheendofthepaper.Keywords:exoticoption;path2dependentoption;no2arbitrageprinciple;partialdifferentialequationTheStudyofMarketingDesisionSupportSystemBasedonWarehouse(61)ByLINJie(SchoolofManagement,FudanUniversity,Shanghai200433,China);ZHAODong-mei,GUOQiang(SchoolofEconomicandManagement,SouthwestJiaotongUniversity,Chengdu610031,China)Abstract:Inthispaper,first,theprocessofmarketingdecisionandthecompositionofwarehouseareanalysed.Thenthearchitectureofmarketingdecisionsupportsystembasedonwarehouse(MIDSS)isde2signed,thebasicfunctionisdescribed.FinallythemechanismofoperationandmanagementofMIDSSisprobedinto.Keywords:warehouse;decisionsupportsystems;marketingTheNewlyProgressinProjectManagement(65)ByWEILin-wei(SchoolofEconomicsandManagementTsinghuaUniversity,Beijing100084,China)Abstract:Inthispaper,thereasonwhyprojectmana