随机波动率Hull-White模型参数估计方法  

Parametric estimation of Hull-White model for stochastic volatility

作　　者：江良[1] 林鸿熙[2] Jiang Liang Lin Hongxi(School of Mathematics, Putian University, Putian 351100, China School of Business, Putian University, Putian 351100, China)

机构地区：[1]莆田学院数学学院,福建莆田351100 [2]莆田学院商学院,福建莆田351100

出　　处：《系统工程学报》2016年第5期633-642,共10页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(11471175);福建省自然科学基金资助项目(2015J05012;2016J01677);莆田学院育苗基金资助项目(2014060;2014061)

摘　　要：构建随机波动率的两因子模型,应用两阶段半参数方法估计模型中的常系数参数,使用核估计方法估计长期均值函数,给出了两阶段估计方法的相容性和参数的渐近性性质.实证结果表明了对比常系数模型,引入长期均值函数模型将会改善似然函数估计值,而且也能够很好地解释中央银行和政府已实施政策的有效性.此外,可以在不增加维数的条件下,使用该模型对利率衍生品进行更有效地定价.A two-factor model of stochastic volatility is established. A two-stage semi-parameter method is applied to estimate constant coefficient parameters of this model. Moreover, kernel estimator method is developed to estimate the long-term mean value function, by this method the consistency of the two-stage method and the asymptotic normality of parameters are obtained. The empirical results show that the likelihood function can be improved in the long-term mean value model rather than the constant coefficient model. Also, the model provides a good explanation for the effective policies implemented by the central bank and the government. Besides, the industries can use the above model for valuing interest-rate-derivative securities without increasing the dimension.

关 键 词：长期均值 随机波动率 短期利率模型 半参数估计 核估计方法 

分 类 号：F830.9[经济管理—金融学] O212.7[理学—概率论与数理统计]