期权定价中BS模型与JD模型的比较  

Option Pricing:The Comparison between BS Model and JD Model

作　　者：任玉超 张卫国[1] 刘勇军[1] 刘桂芳[1] 

机构地区：[1]华南理工大学工商管理学院,广东广州510640

出　　处：《系统工程》2017年第8期50-58,共9页Systems Engineering

基　　金：国家自然科学基金资助项目(71501076);广东省自然科学基金研究团队项目(2017A030312001);中央高校基本科研业务费面上项目(2017ZD102);广州市金融服务创新与风险管理研究基地项目(71720107002)

摘　　要：利用双幂次变差方法检测期权标的资产价格是存在跳跃,针对标的资产价格存在跳跃这种情况,借助Possion跳跃扩散模型(JD)与BS定价模型进行对比分析。运用累积量拟合法估计JD的参数,选取上交所、中金所、香港交易所交易或仿真交易的8只欧式期权的日收盘数据,按照期权收盘价样本的筛选规则进行数据处理得到27371个日收盘数据作为研究样本,借助实证分析检验BS模型与JD模型的定价效果。实证结果表明:JD模型是一个比BS模型更现实的模型,其定价效果优于BS模型,但两者均存在普遍低估的现象。同时,目前期权市场交易清淡,这与深度实值、深度虚值期权分布过多,人们想购买的期权分布过少有关。研究结果可帮助政府和金融机构科学制定相应对策,从而更好的推动期权市场的发展。Using the method of bipower variation to test the prices of assets exist jumps.According to this situation,this paper puts forward the Possion jump diffusion model（JD）of Merton proposed and BS pricing model to make a comparative analysis.we estimate parameters of the jump diffusion model（JD）by using the cumulant matching method.And then,we empirically examine the pricing performance of the BS and JD models using daily closing prices or simulating daily closing prices of eight European options traded on Shanghai Stock Exchange,China Financial Futures Exchange and Hong Kong Stock Exchange.According to certain filtering rules and data processing,we get 27371 daily closing prices as the research sample.Empirical results show that the JD model is more realistic than the BS model,the effect of its pricing is better than the BS model,and both the two models underprice the options.At the same time,the trading activity of current option market is low,this relate to too much distribution of the depth in the money options and the depth out of the money options,so people want to buy the options distributing too little.The results can help the government and financial institutions make appropriate countermeasures scientifically,and thus promote the development of options market.

关 键 词：期权定价 BS模型 JD模型 双幂次变差方法 累积量拟合法 

分 类 号：F832[经济管理—金融学]