期权组合市场风险度量的快速卷积方法  

A Fast Convolution Method for Measuring Market Risk of Options Portfolio

作　　者：陈荣达[1] 吕轶[1] 

机构地区：[1]浙江财经学院金融学院

出　　处：《数量经济技术经济研究》2010年第7期132-141,共10页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金资助项目"期权组合非线性VaR度量模型及数值方法研究"(70771099);中国博士后科学基金资助项目"外汇期权组合非线性VaR度量模型研究"(20070421167);2008年度浙江省大学生科技创新推广项目"外汇理财产品风险度量模型及应用"的阶段性研究成果

摘　　要：为了度量期权组合市场风险,本文引入快速卷积方法到期权组合市场风险度量模型,计算出市场变量回报厚尾特征用t分布描述情形下的期权组合风险值,该方法有效地克服了市场变量回报厚尾分布情形下的期权组合市场风险度量方面的困难。数值结果表明,快速卷积方法和Monte-Carlo方法估算精度相差不大,但快速卷积方法计算时间和计算工作量明显少于Monte-Carlo方法。To measure market risk of options portfolio, this paper introduces a fast convolution method into measuring model of market risk of options portfolio, and has computed VaR values of options portfolio under heavytailed underlying returns having been depicted with t distribution. The method has overcome difficul- ties associated with measuring risk of options portfolio with heavy- tailed underly- ing returns. Numerical results show that the VaR values using fast convolution method is slight difference in the VaR values using Monte Carlo simulation method. However, the calculation time and effort using fast convolution method is obviously less than that of Monte Carlo simulation method.

关 键 词：期权组合 市场风险度量 风险值 快速卷积方法 T分布 

分 类 号：F830.59[经济管理—金融学]