摘 要
金融衍生品作为现代金融市场的重要组成部分，其定价问题一直是学术界和实务界的关注焦点。本文以金融衍生品定价模型的研究与应用为核心，探讨了在复杂市场环境下如何构建更加精确和适用的定价模型。研究背景源于传统定价模型如Black-Scholes模型在处理非线性、非对称性和市场不确定性时的局限性，因此本文旨在提出一种改进的定价框架，以适应更广泛的市场条件。通过引入随机波动率模型和跳跃扩散过程，并结合蒙特卡洛模拟与有限差分法等数值方法，本文构建了一种综合性的定价模型。该模型能够有效捕捉市场价格动态特征，同时兼顾交易成本和流动性风险的影响。实证结果表明，相较于经典模型，本文提出的模型在期权定价精度上显著提升，尤其是在极端市场条件下表现出更强的稳健性。
关键词：金融衍生品定价 随机波动率模型 跳跃扩散过程
Abstract
As an important part of the modern financial market, the pricing issue of financial derivatives has always been the focus of the academic and practical circles. Focusing on the research and application of financial derivatives pricing model, this paper discusses how to build a more accurate and applicable pricing model in a complex market environment. The research background stems from the limitations of traditional pricing models such as Black-Scholes models when dealing with nonlinearity, asymmetry and market uncertainty, so this paper aims to propose an improved pricing fr amework to accommodate a wider range of market conditions. This paper constructs a comprehensive pricing model by introducing a stochastic volatility model and a jump diffusion process and combining numerical methods such as Monte Carlo simulation and a finite difference method. The model can effectively capture the dynamic characteristics of the market price, while taking into account the influence of transaction cost and liquidity risk. The empirical results show that compared with the classical model, the proposed model significantly improves in option pricing accuracy, especially shows stronger robustness in extreme market conditions.
Keyword:Financial Derivatives Pricing Stochastic Volatility Model Jump Diffusion Process
目 录
1绪论 1
1.1金融衍生品定价模型的研究背景 1
1.2研究金融衍生品定价模型的意义 1
1.3国内外研究现状与发展趋势 1
1.4本文研究方法与技术路线 2
2金融衍生品定价理论基础 2
2.1衍生品定价的核心概念与原理 2
2.2无套利定价理论的应用分析 3
2.3随机过程在定价中的作用 3
2.4常见定价模型的比较与选择 4
2.5理论框架对实际应用的指导 4
3金融衍生品定价模型的构建与优化 5
3.1Black-Scholes模型的理论与实践 5
3.2蒙特卡洛模拟在复杂衍生品中的应用 5
3.3局部波动率模型的改进研究 6
3.4模型参数校准与敏感性分析 6
3.5定价模型的效率与准确性评估 6
4金融衍生品定价模型的实际应用研究 7
4.1衍生品定价在风险管理中的作用 7
4.2实证案例：期权定价模型的应用 7
4.3不同市场环境下的模型适应性分析 8
4.4定价模型在对冲策略中的表现 8
4.5应用中面临的挑战与解决思路 9
结论 9
参考文献 11
致谢 12
