本文選題：多元期權(quán)定價(jià) + 逆高斯分布(NIG)��； 參考：《系統(tǒng)管理學(xué)報(bào)》2014年02期

【摘要】：在GARCH模型基礎(chǔ)上發(fā)展了多元期權(quán)定價(jià)的方法,采用逆高斯分布(NIG)描述標(biāo)的資產(chǎn)的分布,以便更準(zhǔn)確地捕獲金融資產(chǎn)常見的厚尾、尖峰和偏態(tài)分布的特征。而考慮到資產(chǎn)間的相關(guān)關(guān)系可能是非線性的,對(duì)資產(chǎn)的相關(guān)結(jié)構(gòu)的描述則運(yùn)用了Copula函數(shù)技術(shù)。最后,依據(jù)風(fēng)險(xiǎn)中性定價(jià)原理給出了CopulaGARCH-NIG期權(quán)定價(jià)模型。為了檢驗(yàn)本文模型的效果,對(duì)人民幣指數(shù)期權(quán)進(jìn)行了實(shí)證分析,結(jié)果顯示:Copula-GARCH-NIG模型得到的期權(quán)價(jià)值與傳統(tǒng)的Black-Scholes模型(B-S)和Copula-GARCH模型得到的期權(quán)價(jià)值有實(shí)質(zhì)的差別,實(shí)證過程展示了Copula-GARCH-NIG模型的優(yōu)勢。
[Abstract]:On the basis of GARCH model, the method of multiple option pricing is developed. The inverse Gao Si distribution is used to describe the distribution of underlying assets, in order to capture more accurately the common characteristics of thick tail, peak and skewness distribution of financial assets. Considering that the correlation between assets may be nonlinear, the Copula function technique is used to describe the related structure of assets. Finally, the CopulaGARCH-NIG option pricing model is given according to the risk neutral pricing principle. In order to test the effectiveness of this model, this paper makes an empirical analysis of the RMB index options. The results show that the option value obtained by the proportion Copula-GARCH-NIG model is substantially different from that obtained by the traditional Black-Scholes model (B-S) and the Copula-GARCH model. The empirical process shows the advantages of Copula-GARCH-NIG model.
【作者單位】： 電子科技大學(xué)經(jīng)濟(jì)與管理學(xué)院;
【基金】：教育部人文社會(huì)科學(xué)研究一般項(xiàng)目(12YJA790125)
【分類號(hào)】：F830.9;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前4條

1 韓立巖;崔e，

本文編號(hào)：1827191