可变风险溢价结构下跳扩散模型的期权定价  

Option Pricing for Jump-Diffusion Models with Variable Risk Premium Structure

作　　者：朱福敏[1] 周海川 郑尊信[1] Zhu Fumin;Zhou Haichuan;Zheng Zunxin

机构地区：[1]深圳大学经济学院,广东深圳518060

出　　处：《证券市场导报》2024年第3期64-79,共16页Securities Market Herald

基　　金：国家自然科学基金项目“基于多元Hawkes跳跃互激发与波动率交叉回馈过程的期权定价研究”(项目编号:72071132);国家自然科学基金项目“外部冲击、金融内生性与系统性金融风险研究”(项目编号:72173089)。

摘　　要：风险溢价结构是真实测度与风险中性测度间的纽带,能够帮助提取投资者的风险偏好特征。本文针对跳扩散模型构建了灵活的风险溢价形式,允许期权市场隐含信息参与校准跳跃风险的市场价格,进而研究存在跳跃情形下的期权定价,并探索市场风险溢价结构。数值分析和实证研究表明,可变风险溢价结构有助于准确刻画市场定价核曲线,且市场风险溢价结构具有明显的时变特征,跳跃风险溢价能够较好解释隐含波动率曲面。此外,跳扩散模型的可变风险溢价结构在样本内外都具有明显的期权定价优势。考虑了不同样本长度、定价方法、定价区间以及期权产品后,以上结论均是稳健的。本研究有助于系统了解不同市场风险溢价结构与定价规律,有利于深入探索跳跃风险溢价补偿机制。The risk premium structure is the link between physical measures and risk-neutral measures,which can help extract investors’risk preference characteristics.This paper constructs a flexible form of the risk premium for jump-diffusion models that allows information implied from the options market to participate in calibrating the market price of jump risks.Then,this paper studies option pricing in the presence of jumps and explores the structure of market risk premium.The numerical analysis and empirical research show that a variable risk premium structure helps accurately characterize the market pricing kernel curve and the market risk premium structure exhibits prominent time-varying characteristics.The jump risk premium can better explain the implied volatility surface.In addition,the variable risk premium structure of the jump-diffusion model has significant option pricing advantages both in-sample and out-of-sample.The above conclusions remain robust after considering different sample lengths,pricing methods,pricing ranges,and option products.This research helps to systematically understand the structure of risk premium in different markets and pricing rules and is conducive to an in-depth exploration of the compensation mechanism for jump risk premium.

关 键 词：不完备市场 跳扩散模型 定价核 风险溢价结构 期权定价 

分 类 号：F830.91[经济管理—金融学]