ⅤⅨ期权定价——基于随机参数的仿射调和稳态模型  

ⅤⅨ option pricing——Applied by affine models with tempered stable processes and stochastic parameter

作　　者：尹亚华 吴恒煜[2] 庞若宁 朱福敏[1] YIN Yahua;WU Hengyu;PANG Ruoning;ZHU Fumin(College of Economics,Shenzhen University,Shenzhen 518060,China;School of Management,Jinan University,Guangzhou 510632,China;School of Finance,Southwestern University of Finance and Economics,Chengdu 611130,China)

机构地区：[1]深圳大学经济学院,深圳518060 [2]暨南大学管理学院,广州510632 [3]西南财经大学金融学院,成都611130

出　　处：《系统工程理论与实践》2020年第10期2530-2545,共16页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金青年项目(71601125);国家自然科学基金(71171168)。

摘　　要：考虑ⅤⅨ时间序列均值回复、尖峰厚尾、有偏、非对称跳与波动率聚类的特征,本文源于日历时间与内在时间的视角,构建了基于随机参数的仿射调和稳态模型.同时应用ⅤⅨ时序过程的特征函数、等价无穷小与概率论方法,求出期权定价最简表达式.基于该类模型与期权定价方法,可以快速地进行ⅤⅨ期权定价模型的参数估计与定价预测.较之前沿的带随机参数的跳过程的CIR定价模型与FFT期权定价方法,具有快而精准的特征.较之一般的仿射跳模型,不仅能较好地刻画ⅤⅨ时序中的尖峰厚尾、有偏与非对称跳等特征,而且具有较好的经济解释与可行性的优势.该研究不仅丰富了衍生品定价理论,也为投资者进行风险规避与衍生品定价提供一些参考.Taking into account the characteristics ofⅤⅨtime series,such as mean reverting,leptokurtosis,biased,asymmetric jump and volatility clustering,this paper establishes an affine tempered stable model based on stochastic volatility that is viewed from the perspective of calendar and intrinsic time.The characteristic function ofⅤⅨtime series process,equivalent infinitesimal and probability method are simultaneously applied to obtain the simplest expression of option pricing.Through the application of these models and option pricing methods,it becomes possible to conduct parameter estimates and the pricing prediction of theⅤⅨoption pricing model.When compared with the general affine jump model,it is concluded that it better depicts the characteristics of theⅤⅨtime series,such as leptokurtosis,biased and asymmetric jump,and also enables better economic interpretation and feasibility.This study both enriches derivatives pricing theory,and also provides a number of references that enable investors to avoid risks and price derivatives.

关 键 词：随机波动率 仿射跳模型 调和稳态 内在时间 ⅤⅨ期权定价 

分 类 号：F835[经济管理—金融学]