| 1 Introduction | 第1-32页 |
| ·European option pricing | 第12-17页 |
| ·The term structure of interest rates | 第17-21页 |
| ·The single-factor model | 第18-20页 |
| ·The HJM term structure | 第20-21页 |
| ·Exotic options | 第21-24页 |
| ·Quanto options | 第24-25页 |
| ·European option pricing with transaction costs | 第25-26页 |
| ·American option pricing | 第26-28页 |
| ·A guaranteed annuity option | 第28-29页 |
| ·Multi-period maturity guarantees | 第29-32页 |
| 2 A generalization of the exotic option pricing | 第32-41页 |
| ·A generalization of the Geske formula for compound call option | 第32-37页 |
| ·Pricing reset option with predetermined dates | 第37-41页 |
| 3 Exotic option pricing in an extended Vasicek's framework | 第41-56页 |
| ·A generalization of the Geman formula for compound call option | 第41-43页 |
| ·Compound call option pricing formula | 第43-47页 |
| ·Reset option pricing formula | 第47-50页 |
| ·Numerical results | 第50-56页 |
| 4 The valuation of European quanto options under a HJM framework | 第56-68页 |
| ·The first call and put quanto options | 第60-62页 |
| ·The second quanto option | 第62-64页 |
| ·The third quanto option | 第64-66页 |
| ·The forth quanto option | 第66-68页 |
| 5 Foreign currency option pricing with proportional transaction costs | 第68-84页 |
| ·An exchange rates market with transaction costs and portfolio selection | 第68-71页 |
| ·Without option trading | 第69-70页 |
| ·With option trading | 第70-71页 |
| ·Option bounds or price | 第71-73页 |
| ·Dynamic programming equations | 第73-77页 |
| ·Option pricing under exponential utility | 第77-80页 |
| ·Value function under exponential utility | 第78-80页 |
| ·Foreign currency option pricing | 第80页 |
| ·Numerical results | 第80-84页 |
| 6 American bond option pricing numerically | 第84-100页 |
| ·Numerical solution of American put option on zero-coupon bond | 第86-91页 |
| ·Numerical price of zero-coupon bond | 第91-92页 |
| ·An integral representation of free boundary | 第92-94页 |
| ·Numerical results | 第94-100页 |
| 7 Two examples: Application of option pricing theory | 第100-115页 |
| ·A guaranteed annuity option pricing in an extended Vasicek framework | 第100-106页 |
| ·Correlated markets: the case of ρ≠0 | 第102-105页 |
| ·Uncorrelated markets: the case of ρ≠0 | 第105-106页 |
| ·The valuation of multi-period maturity guarantees with stochastic interest rates | 第106-115页 |
| ·Multi-period maturity guarantees on the stock market account under deterministic interest rate | 第109-111页 |
| ·Multi-period guarantees on the saving account | 第111-113页 |
| ·Multi-period maturity guarantees pricing with stochastic interest rate | 第113-115页 |
| 8 Summery and Conclusions | 第115-119页 |
| Appendix A | 第119-126页 |
| Appendix B | 第126-128页 |
| Acknowledgements | 第128-129页 |
| Bibliography | 第129-137页 |
