發(fā)布時間：2018-05-01 01:41

  本文選題：多元期權定價 + 逆高斯分布(NIG)　； 參考：《系統管理學報》2014年02期

【摘要】：在GARCH模型基礎上發(fā)展了多元期權定價的方法,采用逆高斯分布(NIG)描述標的資產的分布,以便更準確地捕獲金融資產常見的厚尾、尖峰和偏態(tài)分布的特征。而考慮到資產間的相關關系可能是非線性的,對資產的相關結構的描述則運用了Copula函數技術。最后,依據風險中性定價原理給出了CopulaGARCH-NIG期權定價模型。為了檢驗本文模型的效果,對人民幣指數期權進行了實證分析,結果顯示:Copula-GARCH-NIG模型得到的期權價值與傳統的Black-Scholes模型(B-S)和Copula-GARCH模型得到的期權價值有實質的差別,實證過程展示了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】： 電子科技大學經濟與管理學院;
【基金】：教育部人文社會科學研究一般項目(12YJA790125)
【分類號】：F830.9;F224

【參考文獻】

相關期刊論文 前4條

1 韓立巖;崔e，

本文編號：1827191