Pricing Extensive European Options With Stochastic Mature Time And Their Applications In The FX Market

With internal FX system reformation deepening,it is necessary to widen FX investment routeways, optimize FX investment atmosphere,predigest FX investment procedure for attracting more investors inland and abroad. Domestic FX market will be gradually syncretized in global FX market.Forex margin deal is cosmopolitan investment means,which is not opened in china at present ,but it will be first or late under the boosting of our finance market reformation step.As the FX investment institutions, including FX brokers,banks,individual FX mon-eyman,and work out rational investment decision-making, they need to evaluate the potential new item before the FX margin deal market will be disparked .We often meet similar problem on the new starting investment item,assets evaluation,auction and so forth in else industries.Aiming at this ,this paper introduce real option's theoretic analysis method to design and discuss a new-style option,which intitule extensive European option with stochastic mature time ,EEOSMT for short, so as to analyze the investment institutions' value of setting up the FX margin deal and else foreign currency deal.The new designed option often appears in real option,which is more flexible ,more characteristic ,more extensive than classical European option and American option,and has definite innovation and theoretic analysis value.Under the condition of complete continuous market ,with the tools of martingale theory and stochastic analysis,relatively in-depth and integrated theoretic analysis productions of this option were obtained in the abstract and in the concrete market models,and the evaluation model of FX investment institutions was given. Finance institutions or FX brokers can adjust the correlative parameters in the model to dope out future working state according to actual operating self-advantage,and make the optimal decision.the main results in the paper as follows:1. Defined a new-style option ,i.e., extensive European option with stochastic mature time , EEOSMT for short .Its pricing and character were completely discussed in detail and relations between EEOSMT and American option are analyzed.A) On the assumption that the market consists of two independent continu-ous markets and the asset is under a self-contained and continuous market with no friction and no arbitrage,the pricing formulas of call and put EEOSMT with martingale method are given. The paper gave the general call and put EEOSMT pricing formulas were given under the concrete market model of Vasicek short-term interest rates modal and the asset valuation is drivea by general Ito process;and figured out and accurate call and put EEOSMT pricing formulas in this financial market where stochastic mature time follows even distribution or exponential distribution with parameter A.B) Under the condition that the market was continuous and complete with no friction and no arbitrage, pricing formulas of call and put EEOSMT with martingale method were obtained;Through the discussion the relationship between stochastic mature time and the asset value of the moment, pricing formulas of call and put EEOSMT with martingale method were given in deferent cases. The results under two market hypotheses are same in certain state;With words description,namely pricing of EEOSMT is the average of pricing of European options with determinate maturity.C) Further defined composite option with stochastic mature time,COSMT for short,and a composite call real option with stochastic valid mature time, CCROSVMT for short. Pricing formula of COSMT was obtained under the market assumption A) and the standard asset value of standard option followed geometrical Brownian motion,so general pricing formula of CCROSVMT was gotten easily,and discussed the special properties about CCROSVMT.These were theoretic research conclusions, (see Chapter 2)2. Research the above-mentioned theories' application in the FX market through real option analysis method.Under the condition of self-contained, continuous market with no friction,suppose time that FX margin deal can be set up follows exponential distribution with parameter A and bargain amount of one trading product first is driven by geometrical Brownian motion,gave potential evaluation model of FX investment institutions and discussed option's optimal valid striking time and optimal striking time;On the assumption that net income follows geometrical Brownian motion and the market is self-contained ,continu-ous with no friction, presented anticipative total net income model of developingFX basal operation ,and more,achieved total evaluation model of FX investment institutions and made spread.These were demonstration research results.(see Chapter 3)...