动态跳扩散双因子与长短期波动率:来自期权市场的证据  

Jump-Diffusion dynamics and long-short term volatility:Evidence from option pricing

作　　者：朱福敏[1] 宋佳音 郑尊信[1] ZHU Fumin;SONG Jiayin;ZHENG Zunxin(College of Economics,Shenzhen University,Shenzhen 518060,China)

机构地区：[1]深圳大学经济学院,深圳518060

出　　处：《系统工程理论与实践》2024年第6期1913-1933,共21页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(72071132,72173089);广东省社科规划面上项目(GD21CGL34)。

摘　　要：描述不同期限上远期价格的多样性有助于准确评估期权价值.本文根据资产价格的跳跃特征和波动规律,引入动态跳-扩散双因子模型,拆分价格波动的跳跃成分和扩散成分,捕捉跳跃风险和扩散风险在长短期限上的规律;结合序贯贝叶斯学习方法对模型进行动态学习,对比分析价格波动成分的不同拆分方式在解释股票价格变化和期权定价上的表现.研究结果表明:单因子模型难以同时描述资产价格的扩散风险和跳跃风险,而且跳跃成分和扩散成分的交互影响可以帮助捕捉波动率的期限结构特征;动态跳-扩散双因子模型能够同时反映不同期限上资产价格的跳跃风险和扩散风险演变规律,且在条件方差的期限结构上比长短期波动率模型更具灵活性;和长短期成分模型相比,动态跳-扩散双因子模型可以很好地缓解传统期权定价误差随期限延长而增加的情况.It is vital for option valuation to capture the variability of forward prices across different maturities.Based on the patterns of jumps and diffusion in stock prices,we propose a dynamic Jump-Diffusion factors model that decomposes volatility into jump and diffusion components.This model aims to capture the characteristics of jump and diffusion risks across different time horizons.We employ the sequential Bayesian learning method to learn asset pricing models and analyze the performance of different decompositions of volatility in elucidating stock price dynamics and option pricing.Based on this study,single-factor models fail to capture diffusion and jump risks simultaneously.Moreover,accounting for the cross-feedback effects between the jump and diffusion components is crucial for capturing the term structure of volatility.The dynamic Jump-Diffusion factors model is capable of capturing the evolution of both jump and diffusion risks and exhibits a more flexible term structure of conditional volatility compared to the Long-run and Short-run component model.The dynamic Jump-Diffusion factors model with cross-feedback effect outperforms the Long-run and Short-run component model in mitigating the upward-sloping term structure of option pricing errors.

关 键 词：期权定价 成分模型 跳-扩散双因子 序贯贝叶斯学习 

分 类 号：F830.9[经济管理—金融学]