【作者】 杨保庭；

【导师】 李萍；

【作者基本信息】 华中科技大学 ， 概率论与数理统计， 2006， 硕士

【摘要】 期权理论是20世纪世界经济学领域最伟大的发现之一。期权理论从最初的金融衍生工具发展成为一种规避风险的思想,关于它的应用也越来越广,目前研究的重点在于两个方向:一个方向是研究在不完备市场条件下,即放松期权定价中关于“完备市场”的假设,如何确定期权价值问题;另一个方向是如何利用期权理论进行分析和决策,满足不断变化的市场投资需要。在中国加入WTO后,农业市场也逐渐全面放开,而中国的小农经济必然遭到国外市场冲击,中国决定在“十一五”期间大力发展订单农业,来规避市场风险从而确保农民的收益。首先面临着就是违约问题,期权理论可以解这个问题。文章以Kunt K.Aaese的研究结果为基础并且对Kunt K.Aaese的模型做了以下推广:一在简要介绍Kunt K.Aaese(2004)产量定价模型基础上分析签约后农户资产价值的变化。二通过假设利率的随机过程遵循Heath-Jarrow-Morton (1992)模型,以及利率波动结构和价格波动结构仅为时间的函数,扩展了Kunt K.Aaese(2004)产量定价模型,并借助多元正态分布函数得到显示表达式。三在Kunt K.Aaese(2004)产量定价模型的基础上,假设利率的随机过程遵循Heath-Jarrow-Morton (1992)模型,并在价格过程服从跳一扩散过程的假设下,利用测度变换技巧,推导出合同定价公式。更多还原

【Abstract】 Option theory is one of the greatest findings in the area of the world’s economics in the 20th century. It has become the method of off-risk from derivative tools, The research on option pricing theory is focused on the following two aspects :one is how to design new option to satisfy the changing investment demand,the other is how to price the more and more complicated options.After China joined WTO, the commodities markets set free gradually.Small- holder economy suffer from overseas impacts , China decides to develop ordered-agriculture vigorously during the“Eleventh Five-Year Plan”, to insure the farmer’s yield evading market risk. However, the problem is the default risk,the option theory may solve the issue. We can identify the contract with a put-option. Based on the result of Kunt K.Aaese(2004) generalize the Kunt K.Aaese model as follows:1.Briefly introduce the Kunt K.Aaese model and analysis the change of the farmer’value.2.This paper presents the valuation of future yield put option under a stochastic interest rate of Heath-Jarrow-Morton (1992)framework. With the use of the assumption of the volatility of the forward interest rate and price progress is a deterministic function of time,Kunt K.Aaese(2004)quantity contract model has been extended. Moreover , this paper get the expression by multivariable normal distribution.3.Based on the result of Kunt K.Aaese(2004) model, assume the interest rate follow the Heath-Jarrow-Morton(1992)framework, and the price follows the jump-diffuse model. With the use of the skills of changes of measure, get the pricing formula, generalize the result of Kunt K.Aaese model.更多还原