Research On Option Pricing Model Of Stock Price

The theory and practice of derivative securities have been developed very fast in the recent twenty years all over the world.Many mathematical scientists and financial economists pay more and more attention to the problems on options and investment consumption. Effective management of risk occupies the right evalution of derivative securities.The criticalthing that the financial derivative securities exist reasonably and develop properly is how to value its fair price.Among all the pricing systems, the investigation of option pricing is most extensive.The reasons for this are:(1)Compared to other derivative securities, option is easy to price.(2)Many derivative securities appear in the form of option.(3)The pricing . principles are same to all sorts of derivative securities, so it is possible to find pricing theory of common derivative securities through the option pricing methods. Option pricing theory, the important Part of modern finance, has promoted the prosperity of financial market,Together with the portfolio selection theory, the capital asset pricing theory, the effectiveness theory of market and acting issue, it is regarded as one of the five theory modules in modern finance.This dissertation intened to study option pricing problems, so as to establish the mathematic module of option pricing with jump-diffusion process by means of mathematical tools, to deduce the option pricing equation and reasonable value, and to attempt to obtain the results, which are instructive to financial practice and easy to operate.At the same time, some helpful mathematical conclusions will be reached through the research, trying to display the dialectical relationship between mathematics and finance from an aspect, that is to say: mathematics is the powerful tool for financial research, and vice versa, financial practice promotes the development of methematical theory.In the process of writing , many study methods are used. This paper was fivechapters. In Chapter One, the system of the paper is introduced. In Chapter Two, the author systematically introduces the origin, significace, development and basic ways of option pricing. In Chapter Three, the author introduces the option pricing the stock, which is more suitable to the nature of the stock price's change by comparing with the traditional way of stock pricing. Chapter Four establishes the option pricing module that the stock price processes are jump-diffusion processes. In Chapter Five, author summarizes the whole paper and emphasizes the paper's structure and its main study results.