双侧伽马期权定价与B-S模型的比较研究  

A Comparative Study of Option Pricing Models:Based on Bilateral Gamma Distribution Model and B-S Model

作　　者：雷鸣[1] 陈舒忻 叶五一[2] LEI Ming;CHEN Shu-xin;YE Wu-yi(School of Finance,Nanjing University of Finance&Economics,Nanjing 210023,China;School of Management,University of Science and Technology of China,Hefei 230026,China)

机构地区：[1]南京财经大学金融学院,江苏南京210023 [2]中国科学技术大学管理学院,安徽合肥230026

出　　处：《运筹与管理》2021年第7期190-194,共5页Operations Research and Management Science

基　　金：国家自然科学基金资助项目(71973133,71671171)。

摘　　要：本文首次运用双侧伽马分布对上证50ETF期权定价进行实证研究,并与经典的B-S模型进行比较。实证结果表明:采用双侧伽马模型来估算期权的理论价格,无论是在95%置信区间下还是在99%置信区间下,双侧伽马模型对于期权价格的测定都要优于B-S模型期权定价,因此,双侧伽马模型可以作为B-S模型的一种改进。This paper first uses bilateral gamma distribution model to study the pricing of Shanghai 50ETF option and compares it with the classical B-S model.The empirical results show that the theoretical price of options is estimated by using bilateral gamma model.Whether it is in 95%confidence interval or 99%confidence interval,the two-sided gamma model is better than Option Pricing of B-S model.Therefore,bilateral gamma model can be used as an improvement of B-S model.

关 键 词：期权定价 B-S模型 双侧伽马分布 偏离度 

分 类 号：F832.5[经济管理—金融学]