状态价格密度的局部多项式估计及其在VaR中的应用(英文)  

Local Polynomial Estimation for SPD with Applications to VaR

作　　者：李元[1] 吴奇峰[2] 罗羡华[1] 熊健[1] 

机构地区：[1]广州大学数学与信息科学学院,广州510006 [2]韶关学院韶州师范分院,韶关512005

出　　处：《工程数学学报》2010年第2期358-368,共11页Chinese Journal of Engineering Mathematics

基　　金：The National Natural Science Foundation of China(10971042)

摘　　要：本文应用局部多项式拟合方法来估计金融资产价格中隐含的状态价格密度(SPD),在较弱的条件下证明了SPD的估计是相合的。然后基于SPD我们提出了包含经济价值的VaR。从这个意义上讲它比传统的VaR更合理。最后针对Black-Scholes模型进行了数值模拟和失败率检验以评价本文方法的好坏。The local polynomial fitting method is applied to estimate the state-price density （SPD） im- plicit in financial asset prices. It is shown that the estimator of SPD is consistent under mild conditions. Then the VaR （Value at Risk） based on SPD is proposed, which incorporates economic valuations, and thus is more reasonable than the traditional VaR. Simulations and test of invalidation are done for Black-Scholes models to assess the performance of the proposed method.

关 键 词：状态价格密度 局部多项式估计 在险价值 

分 类 号：O212.7[理学—概率论与数理统计]