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  本文選題：期權定價模型　切入點：樣本內(nèi)定價　出處：《華中師范大學》2014年碩士論文　論文類型：學位論文

【摘要】：隨著全球經(jīng)濟一體化和金融市場的飛速發(fā)展,金融領域衍生產(chǎn)品越來越多,也變得越來越重要,其中期權就是人們廣泛使用的一種金融工具。期權按執(zhí)行時間方式可分為歐式和美式期權,美式期權的持有者可以在期權有效期內(nèi)任何時間行使權力,歐式期權只能在到期日執(zhí)行。期權賦予持有者做某件事的權利,持有者不一定必須行使該權利。對于歐式期權,BS模型就是市場上一種比較成熟的期權定價模型,它假設期權的標的股票價格服從幾何布朗運動,同時假定股票的價格的波動率為常數(shù),而這與市場的真實情況并不相符。實際上,由期權的市場價格得到的隱含波動率并不為常數(shù),而是隨期權的行使價格和到期日的變化而變化,這就是人們所觀察到的“波動率微笑”現(xiàn)象。為了彌補BS模型的不足,研究者們提出了大量的改進模型,其中又以隨機波動率期權定價模型為主,這些模型對期權定價理論的研究和發(fā)展產(chǎn)生了深遠的影響。 本文研究了當隨機波動率引入以后,關于SP500股指期權定價方法的改進,我們實證比較了四種隨機波動率期權定價模型(1)AHBS模型(2)GARCH模型(3)SV模型(4)VG模型。實證結(jié)果表明SV模型在樣本內(nèi)定價和樣本外定價的表現(xiàn)都要優(yōu)于其它模型；通過在值程度觀察,所有模型虛值期權的定價誤差均較高,并且隨著虛值期權向?qū)嵵灯跈噢D(zhuǎn)變時,其定價誤差也在不斷地減��；根據(jù)期權在值程度的分類情況,隨機波動率模型擬合“波動率微笑”更好,但在定價誤差上,并不比BS模型好多少。
[Abstract]:With the rapid development of global economic integration and financial markets, more and more derivative products in the financial field are becoming more and more important. Option is a kind of financial instrument widely used by people. It can be divided into European option and American option according to the execution time. The holder of American option can exercise power at any time during the period of validity of the option. The European option can only be executed on the maturity date. The option gives the holder the right to do something, and the holder does not have to exercise that right. It assumes that the underlying stock price of the option is driven by geometric Brownian motion, while the volatility of the stock price is assumed to be constant, which does not correspond to the real situation in the market. In fact, The implied volatility obtained from the market price of an option is not a constant, but changes with the exercise price and the maturity date of the option. This is the observed phenomenon of "volatility smile", in order to make up for the deficiency of BS model. Researchers have put forward a large number of improved models, including stochastic volatility option pricing model, these models have a profound impact on the research and development of option pricing theory. This paper studies the improvement of SP500 stock index option pricing method after the introduction of stochastic volatility. We have empirically compared four stochastic volatility option pricing models, I. e. 1 / AHBS model and / or GARCH model, respectively. The empirical results show that SV model performs better in both intra-sample pricing and out-of-sample pricing than other models, and the empirical results show that SV model performs better than other models in both intra-sample pricing and out-of-sample pricing, and the empirical results show that SV model performs better than other models in both intra-sample pricing and out-of-sample pricing. The pricing error of all model options is high, and the pricing error decreases continuously with the change of virtual value options to real value options, according to the classification of options in the degree of value, The stochastic volatility model fits "volatility smile" better, but the pricing error is not much better than that of BS model.
【學位授予單位】：華中師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F830.91;O212.1

【參考文獻】

相關期刊論文 前1條

1 劉海龍,吳沖鋒;期權定價方法綜述[J];管理科學學報;2002年02期

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本文編號：1556915