厚尾随机波动率模型下的沪深300股指期权定价分析  

CSI 300 stock index option pricing analysis under the thick-tailed stochastic volatility model

作　　者：任芳玲[1] 乔克林[1] 薛盼红 REN Fang-ling;QIAO Ke-lin;XUE Pan-hong(College of Mathematics and Computer Science,Yan'an University,Yan'an 716000,China)

机构地区：[1]延安大学数学与计算机科学学院,延安716000

出　　处：《云南民族大学学报（自然科学版）》2023年第3期340-345,共6页Journal of Yunnan Minzu University:Natural Sciences Edition

基　　金：国家自然科学基金(61763045);陕西省科技厅自然科学基金(2022JQ-741).

摘　　要：首先,对沪深300股指期权交易数据,采用马尔科夫链蒙特卡洛方法、吉布斯采样方法,利用Eviews软件、WinBUGS软件,进行该期权的定价模型选择和参数估计,并通过BUGS程序语言中的贝叶斯估计法,进行模型参数求解.其次,对该期权进行随机波动率模型及B-S模型的实证分析研究,进而通过分析套利空间、误差因素,得出厚尾随机波动率模型对该期权的定价更为准确合理.Firstly,the pricing model selection and parameter estimation are carried out by using Markov chain Monte Carlo method,Gibbs sampling method,Eviews software and WinBUGS software for option trading data of CSI 300 stock index.And the model parameters are solved by Bayesian estimation method in BUGS programming language.Secondly,the stochastic volatility model and B-S model are used for empirical analysis of the option.By analyzing arbitrage space and error factors,it is concluded that the thick-tailed stochastic volatility model is more accurate and reasonable for the pricing of the option.This conclusion provides effective data support and theoretical basis for financial derivative securities market and securities investors.

关 键 词：沪深300股指期权 期权定价 时间序列 SV-T模型 

分 类 号：F832.5[经济管理—金融学] F224