跳跃风险如何影响期权复制收益?——基于多维跳跃扩散的模型与证据  

How does jump risk affect the Delta hedge gain? Evidence from multi-dimension jump diffusion model

作　　者：刘杨树[1] 郑振龙[2] 陈蓉[2] 

机构地区：[1]厦门大学管理学院财务学系,厦门361005 [2]厦门大学经济学院金融系,厦门361005

出　　处：《管理科学学报》2016年第6期74-86,共13页Journal of Management Sciences in China

基　　金：国家自然科学基金资助青年项目(71101121;71401144);国家自然科学基金资助项目(71073023);教育部人文社科研究青年基金资助项目(11YJC790014);福建省自然科学基金项目(2010J0619)

摘　　要：文章在最一般的多维跳跃扩散过程假设下,推导出Delta对冲组合盈亏所遵循的随机过程,从理论上证明了Delta对冲组合会受到跳跃风险以及跳跃风险的风险溢酬的影响.并且,通过美国SPX期权数据对理论推导的结论进行分样本实证,实证结果表明,在考虑了模型风险、市场信息传递效率等以往学者未曾考虑到的控制变量后,跳跃风险对于对冲标的风险后的期权复制收益的影响仍然显著,但其影响看涨看跌期权的内在途径和机理在平时、危机时刻都不相同.This paper derives the stochastic process process. Theoretically, Delta hedge gain contains four of Delta hedge gain under the general jump diffusion components, including jump risk and risk premium of jump risk in our assumption. The theoretical result is tested with SPX option data. The empirical result indicates that complex roles jump affects option prices. The result is significant when the model risk and market efficiency effects are controlled. It is found that in different financial environments, different types of options are affected differently by the jumps.

关 键 词：跳跃扩散过程 期权复制收益 跳跃风险 跳跃风险溢酬 

分 类 号：F832.5[经济管理—金融学]