The Research Of VaR Measurement On Several Exotic Options Risk

Since Black-Scholes option pricing model appeared in 1973, the research of modern Mathematical Finance gained rapid development with tremendous achievements, and the research of pricing option and measuring of option risk is being developed constantly. But at present, research in our country only stays on measuring market risk of the traditional financial instrument. According to measuring market risk of financial derivative market, especially the research of measuring the option risk, there is a little research in our country, so it demands innovation urgently in both theory and practice.In order to adapt to the continuous development of financial markets, a variety of exotic options came into being. We need to have singular conduct an in-depth study of exotic options and risk measurement, in order to meet investor preferences better, avoid a small number of investors to manipulate the investment market.This dissertation is intended to study the risk measurement on some exotic options, so as to establish the mathematic model of option pricing in geometric Brownian motion environment. The internal and external actuality of option pricing and VaR risk measurement are shown in this thesis, meanwhile, some conceptions and conclusions of VaR, option pricing theories and the classical Black-Scholes model are introduced, they are the basic of this paper's main contents.The following are main results and innovations of this thesis:First, this paper is on the basis of studying domestic and international option pricing and financial market risk management theory, uses the major method of measuring the risk of financial market at present-VaR, studies the market risk of the geometric average Asian options, power options and power-Asian options overall, and the VaR formulae derived out in the paper are more excellent in measuring market risk of several exotic options. It has made some break-throughs in the theory.Second, in this paper, the current power options pricing models are improved. This dissertation assumes that the risk-free rate of interest, the expected rate of return, the volatility for the stock price are deterministic functions of the time. The problems of power options are studied and the call and put power options pricing formulae are got making use of martingale method, they are the extension of the classical Black-Scholes model, and be more coincident with the practical financial market.This paper as perspective research can provide certain reference for finance derived product especially exotic options researcher and designer of our country on the theory.