Ornstein-Uhlenbeck随机波动率模型的参数估计  

ESTIMATION OF THE STOCHASTIC VOLATILITY MODEL IN ORNSTEIN-UHLENBECK MODEL

作　　者：刘广应[1] 陈萍[2] 杨洋[1] 

机构地区：[1]南京审计学院应用数学系,江苏南京210029 [2]南京理工大学理学院,江苏南京210094

出　　处：《经济数学》2007年第3期248-253,共6页Journal of Quantitative Economics

基　　金：江苏省高校自然科学基金(06KJ110087)资助

摘　　要：本文研究了波动率过程为Ornstein-Uhlenbeck过程,且波动率过程与股票价格过程的相关系数ρ可为[0,1]中的任一数的随机波动率模型参数估计.给出了OU过程的统计性质,并利用鞅极限理论给出模型中参数的估计式,证明估计量是具有渐进正态性从而是相合的.In this paper, the problems of Ornstein-Uhlenbeck stochastic volatility model are studied. The parameters in the model are discussed. The martingale estimates of the reverting mean m, the reverting speed a, and the volatility β in the OU processes are given. The martingale estimates of the correlation coefficients ρ of the stock processes and the volatility processes in also obtained. The properties of the martingale estimates are discussed.

关 键 词：随机波动率 OU模型 鞅估计 

分 类 号：O212.6[理学—概率论与数理统计] F830.9[理学—数学]