基于跳扩散模型的外汇理财产品定价-应用数学专业论文.docxVIP

AbstractAbstract Abstract Abstract With the development of financial market since the 1970s，the pricing for financial derivatives become the focus of financial markets，and the research on the pricing theory of financial derivatives has made breakthrough．However，the financial market in China started later，theory and application research on the pricing of financial derivatives is still far behind from the Western developed countries．It is significative to deepen the application and research of China’S financial market by using mature theories in developed countries In the globalization situation，exchange rate moves more intense．Hence foreign exchange risk control has become a closely watched among the domestic and foreign scholars．Foreign exchangeis and derivatives pricing also becoming increasingly important in modern fi- nance．This paper studies the pricing problem of foreign exchange financial products called’’ SMary Plus Salary No．16”RMB financial planning with B—S model and Jump-Diffusion model B—S model opened a new age of financial mathematics，which has become important conclusion of option pricing．It is the foundation of this paper that studing the pricing problem of“Salary Plus Salary No．16”with B—S model． Although B—S model is of great applied value，here is strong applicability in the real financial market under restrictive assumptions．Exchange rate always fluctuates unusually when it is affected by significant information．In this paper，we introduced Jump-Diffusion model and investigate the pricing problem of“Salary Plus Salary No．16’’if exchange rate changes in the presence of Poisson jump，SO the research is more realistic The contribution of this paper lies in：(1)It gives the B—S model of foreign exchange option to meet on the basis of the traditional B—S model；(2)In the final value condition of II 万方数据 Abstract“Salary Abstract “Salary Plus Salary No．16”．we introduce heaviside function the establishment and solution of the model simplified；(3)We study on t