分数商品期货期权定价模型及其实证研究  

Fractional Pricing Model for Commodity Futures Options and Its Empirical Study

作　　者：马超群[1] 刘超[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082

出　　处：《系统工程》2009年第2期23-27,共5页Systems Engineering

基　　金：国家杰出青年科学基金资助项目(70825006);国家自然科学基金资助项目(70471030)

摘　　要：商品期货期权在企业进行套期保值、完善期货市场功能、构造商品投资组合中起重要作用。商品期货市场是一个复杂的非线性动力学系统,期货价格并不服从标准的布朗运动。本文在商品期货价格服从分数布朗运动的基础上,运用拟条件期望和分数Girsanov模型等方法构建了分数商品期货期权定价模型,通过LME铜期货期权的实证研究表明,该模型对期货期权的价格具有更精确的估计效果。Commodity futures options play an important role in hedging risk in commodity coporations, completing futures market＇s functions and constructing commodity portfolio. Commodity futures market is a complex nonlinear dynamics system and futures prices don＇t follow standard Brownian motion. Considering that futures prices follow fractional Brownian motion, we construct a fractional pricing model for futures options by using quasi-conditional expectation and fractional Girsanov model, which is applied to LME copper options. The result shows that the fractional option pricing model has more accurate estimation effect than other models.

关 键 词：期货市场 分形市场 分数布朗运动 期货期权定价 

分 类 号：F830[经济管理—金融学]