多元非线性期权定价模型及实证分析

发布时间：2018-05-01 01:41

本文选题：多元期权定价 + 逆高斯分布(NIG)　；参考：《系统管理学报》2014年02期

【摘要】：在GARCH模型基础上发展了多元期权定价的方法,采用逆高斯分布(NIG)描述标的资产的分布,以便更准确地捕获金融资产常见的厚尾、尖峰和偏态分布的特征。而考虑到资产间的相关关系可能是非线性的,对资产的相关结构的描述则运用了Copula函数技术。最后,依据风险中性定价原理给出了CopulaGARCH-NIG期权定价模型。为了检验本文模型的效果,对人民币指数期权进行了实证分析,结果显示:Copula-GARCH-NIG模型得到的期权价值与传统的Black-Scholes模型(B-S)和Copula-GARCH模型得到的期权价值有实质的差别,实证过程展示了Copula-GARCH-NIG模型的优势。
[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.
【作者单位】：电子科技大学经济与管理学院;
【基金】：教育部人文社会科学研究一般项目(12YJA790125)
【分类号】：F830.9;F224

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