欧式期权价值评估的非参数估计  

Non-parametvic Estimation on Evaluating European Options Value

作　　者：区诗德[1] 黄敢基[1] 杨善朝[1] 

机构地区：[1]广西师范大学数学科学学院

出　　处：《系统工程》2006年第8期47-51,共5页Systems Engineering

基　　金：国家自然科学基金资助项目(10161004);广西壮族自治区自然科学基金资助项目(04047033)

摘　　要：用非参数方法研究股票价格在不服从几何布朗运动下欧式期权价值的评估,首先从理论上论证基于非参数的欧式看涨期权评价方法,然后从上海证券市场收集数据,实证研究用该方法评价欧式看涨期权与经典的B lack-Scholes定价的结果有所不同,但非参数定价方法更贴近市场。In this paper, we explore the evaluating of European options by parametric method when stock prices don＇t obey geometry Brownian movement. Firstly, we theoretically develop the way of European call options based on parametric estimation. Then we gather data from Shanghai Stock Market and empirically explore the difference between this way and the classical way of Black-Scholes pricing, however, the former is more closer to the market than the latter.

关 键 词：核密度估计 几何布朗运动 欧式期权 

分 类 号：O212[理学—概率论与数理统计] F830[理学—数学]