期权新型定价与应用研究

南京理工大学博士学位论文期权新型定价与应用研究姓名：彭斌申请学位级别：博士专业：管理科学与工程指导教师：韩玉启20050301期权新型定价与应用研究作者：彭斌学位授予单位：南京理工大学参考文献(179条)1.郭研金融市场教程20042.吴腾华金融市场学20043.郑振龙衍生证券20054.魏振祥期权投资20035.埃里克·布里斯.史树中期权、期货和特种衍生证券20026.HullJoptions,FuturesandOtherDerivativesSecutities4'thednuppersaddleRiver20007.瞿卫东金融工程核心工具-期权19988.茅宁期权分析.理论与应用20009.郑振龙金融工程200310.MarshallJF.BansallVK.宋逢明金融工程199811.BachelierL.AJBonessThéoriedelaSpéculation1900(17)12.MasonSP.MertonRCTheroleofcontingentclaimsanalysisincorporatefinance198513.SprenkleCWarrantpricesasindicationsofexpectations1961(01)14.BonessAJElementsofatheoryofstock-optionvalue1964(02)15.BonessAJSomeevidenceontheprofitabilityoftradinginputandcalloptions196416.SamuelsonPARationaltheoryofwarrantspricing1965(02)17.MertonRCApplicationsofoption-pricingtheory:twenty-fiveyearslater1998(03)18.KruizengaRJIntroductiontotheoptioncontract196419.AyresHFRiskaversioninthewarrantsmarkets196420.BaumolWJ.MalkielBG.QuandtREThevaluationofconvertiblesecurities196621.SamuelsonPA.MertonRCAcompletrmodelofwarrantpricingthatmaximizesutility196922.ChenAHYAmodelofwarrantpricinginadynamicmarket197023.ScholesMThepricingofoptionandcorporateliabilities197324.PollWilmott.SamHowynneTheMathematicsofFinancialDerivatives199525.泽夫·司曲斯.钮晓鸣随机微分方程理论与应用199626.陈舜期权定价理论及其应用199827.宋逢明金融工程原理-无套利均衡分析199928.RCMertonTheoryofRationalOptionPricing197329.CoxJCNotesonOptionPricing1:ConstantElasticityofVarianceDiffusions197530.MBrennan.ESchwartzFiniteDifferenceMethodsandJumpProcessesArisinginthepricingofcontingentclaims:ASynthesis1978(03)31.JDMacbeth.LJMervilleTestsoftheBlack-ScholesandCoxCallOptionValuationmodels198032.HELelandOptionandReplicationCosts1985(12)33.BensaidB.LesneJP.PagesHDrivativeAssetPricingwithTransactionCosts199234.NikolaiGDokuchaev.AndreyVSarkinThepricingofOptionsintheFinancialMarketModelwithTransactionsCostsandUncertainVolatility199835.LionelMartelliniEfficientOptionReplicationinthePresenceofTransactionsCosts200036.StylianosPerrakis.JeanLefollTheAmericanputundertransactionscosts2004(05)37.BarronEN.JenseRAStochasticControlApproachtothePricingofOptions199038.BarraquandNumericalvaluationofHighdimentionalMultivariateEuropeanSecurities199539.KwokYueKuen.WongHoiYing.LauKaWoPricingAlgorithmsofMultivariatePathDependentOptions2001(04)40.BaroneAdesiGiovanni.BermudezAna.HatgioannidesJohnTwo-factorconvertiblebondsvaluationusingthemethodofcharacteristics/finiteelements2003(10)41.TSYHo.SBLeeTermStructureMovementsandPricingInterestRateContingentClaims198642.BakshiGurdipS.ZhiwuChenAnalternativevaluationmodelforcontingentclaims1997(01)43.ASullivan.MichaelDiscrete-timecontinuous-stateinterestratemodels2001(6-7)44.HullJ.WhiteAThePricingofOptionsonAssetswithStochasticvolatilities198745.HestonSLAClosed-FormSolutionforOptionswithStochasticVolatilitywithApplicationstoBondandCurrencyOptions199346.FeyRDerivativeAssetAnalysisinModelswithLevel-DependentandStochasticVolatility1997(03)47.JamesMSteeleyImpliedvolatilityfromtheTermStructure:aSimpleAnalyticalApproximation199748.SaikatNandiAsymmetricInformationaboutVolatility:HowDoesltAffectImpliedVolatility,OptionPricesandMarketLiquidity?199949.RZvan.KRVerzal.PAForsythPDEMethodsforPricingbarrieroptions200050.KallianpurC.XiongJAssetPricingwithStochasticVolatility200151.OtakaMasaaki.YoshidaToshihiroStudyonoptionpricinginanincompletemarketwithstochasticvolatilitybasedonriskpremiumanalysis2003(11-13)52.OtakaMasaaki.YoshidaToshihiroStudyonoptionpricinginanincompletemarketwithstochasticvolatilitybasedonriskpremiumanalysis2003(11-13)53.BatesDTheCrashof1987:WasitExpected?TheEvidencefromOptionMarkets199154.BakshiG.CaoC.ChenZEmpiricalPerformanceofAlternativeoptionPricingModels199755.KimInJoonEmpiricalcomparisonofalternativestochasticvolatilityoptionpricingmodels:EvidencefromKoreanKOSPI200indexoptionsmarket2004(02)56.FBlack.PKarasinskiBondandOptionPricingwhenshortRatesareLognormal1991(7-8)57.TSHo.RichardCStapletonTheValuationofAmericanOptionsonBonds199758.SanjivRanjanDasDiscrete-TimeBondandOptionPricingforJump-DiffusionProcesses199759.MunkClausPrice.botmdsonbondoptions,swaptions,caps,andfloorsassumingonlynonnegativeinterestrates2002(04)60.JarrowRobertARiskycouponbondsasaportfolioofzero-couponbonds2004(02)61.JHull.AWhitePricingInterestRateDerivativeSectwities1990(04)62.JHull.AWhiteValuingDerivativeSecuritiesUsingtheExplicitFiniteDifferenceMethod199063.JHull.AWhiteOneFactorInterestRateModeland,theValuationofInterestRateDerivativeSecurities1993(02)64.JHull.AWhiteTheImpactofDefaultRiskonthepricesofoptionsandotherDerivativeSecurities199565.EBriys.MCrouhyCreatingandpricingHybridForeignCurrencyOptions1988(17)66.ChoiS.MarcozziMDThevaluationofforeigncurrencyoptionsunderstochasticinterestrates2003(5-6)67.NawalkhaSanjayK.ChambersDonaldRAnoteoncurrencyoptionpricing1995(01)68.KJmMinho.KimMinchoulImpliedvolatilitydynamicsintheforeignexchangemarkets2003(04)69.CCampbell.RWhaleyDividendsandS&P500IndexOptions1992(02)70.LDWal.JJPringleAlternativeExplanationsofInterestRateSwaps:ATheoreticalandEmpiricalAnalysis1989(02)71.HugnGrove.JohnDBazleyInterestRate