随机波动率与跳模型下股价的分析与模拟  

Analysis and Simulation of Stock Price in a Stochastic Volatility Model with Jumps

作　　者：曹桂兰[1] 周媛[1] 

机构地区：[1]中国科学院大学数学科学学院,北京100190

出　　处：《吉林大学学报（理学版）》2016年第2期257-265,共9页Journal of Jilin University:Science Edition

基　　金：国家自然科学基金(批准号:10901161;11371352)

摘　　要：运用随机微分方程和Monte Carlo模拟,建立并检验带Poisson跳且波动率服从CIR过程的股票价格模型,给出了该模型下股票价格的表达式及股票收益率的均值和方差.数值计算表明,该模型下股票的收益率更具尖峰厚尾的特征.Using stochastic differential equation and Monte Carlo simulation,we established and verified a stock price model with Poisson jumps when the volatility obeyed CIR process. The price formula of stock was given and we also computed the mean and variance of stock yield. Numerical result indicates that the model can better reflect the characteristics of high kurtosis and fat tail of stock yields distribution.

关 键 词：随机波动率 复合POISSON过程 CIR过程 MONTE Carlo精确模拟 

分 类 号：O211.9[理学—概率论与数理统计]