ARMA波动率模型下到期区间理财产品定价  

Pricing of Interval-on-maturity Financial Products Under the ARMA Volatility Models

作　　者：王雅琪 金良琼 WANG Ya-qi;JIN Liang-qiong(Guizhou Minzu University School of Data Science and Information Engineering, Guiyang 550025, Chin)

机构地区：[1]贵州民族大学数据科学与信息工程学院

出　　处：《数学的实践与认识》2018年第8期290-296,共7页Mathematics in Practice and Theory

基　　金：贵州省科学技术基金项目(黔科合15XRY2076);贵州省教育厅青年人才成长项目(黔教合KY字[2016]168)

摘　　要：在随机利率情形下研究了一类挂钩于沪深300指数的到期区间理财产品定价问题.首先,针对源自新浪财经网的沪深300指数的历史数据,进行统计分析获取历史波动率数据.其次,采用ARMA模型方法对波动率进行预测.然后利用预测的波动率数据对理财产品价格进行Monte-Carlo模拟,获取相应的理财产品价格,最后通过数值算例分析了Monte-Carlo模拟的收敛性,同时对几种同类型的理财产品所蕴含的价值进行了比对分析.In the case of stochastic interest rate, this paper studies the pricing problem of maturity interval financial products which are pegged to Shanghai and Shenzhen 300 index. First of all, the historical data of the Shanghai and Shenzhen 300 Index, which originated from Sina Financial Network, were analyzed to obtain the data. Secondly, the ARMA model method is used to predict the fluctuation rate. Then, using Monte Carlo method to simulate the price of financial products and obtain the corresponding price of financial products using the forecasted volatility data. Finally, the convergence of Monte Carlo simulation is analyzed by numerical examples, and the value of several kinds of financial products is analyzed.

关 键 词：随机波动率 ARMA模型 MONTE-CARLO模拟 金融理财产品 

分 类 号：F832.51[经济管理—金融学]