外汇期权定价:VG模型与BS模型谁更适用  

Which Apply for Pricing of Foreign-exchange Option:the Variance Gamma Model or Bs Model

作　　者：黄丁伟[1] 

机构地区：[1]浙江财经学院,浙江杭州310018

出　　处：《金融发展研究》2009年第3期24-25,共2页Journal Of Financial Development Research

摘　　要：本文运用方差GAMMA模型对外汇收益分布特征进行对比拟合分析,并结合几种被选汇率数据对模型参数进行估计。KS检验和卡方拟合优度检验的实证结果表明V.G.模型比Black-Schloes模型有更高的拟合度,说明了V.G.模型比Black-Schloes模型更好地模拟汇率收益动态运动过程。The article examines the characteristics of foreign exchange returns distribution, coupling with kinds of foreigu exchange datas, figures out parameters of model by using variance gamma model.The empirically results of Kolmogorov-Smimov test and goodness of fit chi-square test shows that V.G. Model, comparing with Black-Schloes Model tset, provides larger degree of goodness-of-fit and better models the dynamics of foreigu-exchange.

关 键 词：V.G.模型 外汇 收益分布 

分 类 号：F830[经济管理—金融学]