引入隔夜信息的期权定价模型研究  

Overnight Information and Option Pricing Model

作　　者：成思聪 王天一[1] Cheng Sicong;Wang Tianyi(School of Banking and Finance,University of International Business and Economics,Beijing 100029,China)

机构地区：[1]对外经济贸易大学金融学院,北京100029

出　　处：《中国管理科学》2024年第9期1-10,共10页Chinese Journal of Management Science

摘　　要：已有的实证研究表明,隔夜信息在提高波动率预测准确性、解释金融市场异象方面有重要的作用。然而,关于隔夜信息对期权市场影响的研究,特别是对期权定价效果作用的研究仍数量有限。为了同时刻画由日对数收益率进行分解后得到的日内和隔夜收益率过程,本文提出了二元Heston-Nandi GARCH模型,并推导出了具有显式解的期权定价公式。基于对上证50ETF期权的实证研究,本文对比了二元Heston-Nandi GARCH模型和传统一元模型的定价效果。样本内和样本外的实证结果均表明,在日收益率中区分日内和隔夜收益率,能够有效降低模型的定价误差。The fact that most assets are not traded around the clock raises a natural decomposition of the daily return.The intraday return covers the price movement between open and close,while the overnight return covers the price movement between the previous close and current open.Previous literature documented that overnight information has a significant impact on financial activities.It can help explain the market anomalies and improve the volatility forecasting accuracy.However,there is little research investigating the effects of option pricing.In this paper,the daily log returns are decomposed into intraday and overnight components and a new model that extends the Heston-Nandi GARCH framework to a bivariate structure is proposed to describe the two return processes simultaneously.Such decomposition is different from those with high-frequency data(such as semivariance-based good-bad volatility framework)as we only require daily frequency data.Using the variance-dependent pricing kernel,a closed-form option pricing formula is derived and the pricing performance of SSE 50 ETF options is assessed.The empirical results using SSE 50 ETF options from 2015 to 2019 show that distinguishing the overnight component from daily returns can potentially reduce the pricing errors,both in-sample and out-of-sample.The results enrich the current literature on return decomposition by adding a piece of option pricing evidence and call for more research on option pricing in this new direction.

关 键 词：隔夜信息 二元Heston-Nandi GARCH模型 期权定价 

分 类 号：F830.9[经济管理—金融学]