基于双指数跳扩散模型的沪深300ETF期权定价研究  

Research on Option Pricing of CSI 300ETF Based on Double Exponential Jump Diffusion Model

作　　者：祝兆媚 商豪[1] ZHU Zhaomei;SHANG Hao(School of Science,Hubei University of Tech,Wuhan 430068,China)

机构地区：[1]湖北工业大学理学院,湖北武汉430068

出　　处：《湖北工业大学学报》2025年第1期104-108,120,共6页Journal of Hubei University of Technology

基　　金：国家社会科学基金(24BTJ068)。

摘　　要：用双指数跳扩散模型来描述沪深300ETF资产收益率,用蒙特卡洛方法模拟出双指数跳扩散模型和B-S模型下样本路径,旨在选择更能反映期权实际价格变化的模型。结果显示:双指数跳扩散模型定价误差小,拟合效果更优。双指数跳扩散模型可以更准确地反映资产跳跃这一特点,同时可以很好地刻画资产的“尖峰厚尾”和“波动率微笑”。Since the end of 2019,Covid-19,the outbreak of this sudden event to people's normal social order,economic stability caused a huge impact.The price of assets turns into a jump.In this paper,a double exponential jump diffusion model is used to describe the yield of CSI 300 Index 300 ETF.The sample paths under the double exponential jump diffusion model and B S model are Monte Carlo method,the aim is to choose a model that can better reflect the real price change of options.The results show that the double exponential jump diffusion model has less pricing error and better fitting effect.The double index jump diffusion model can reflect the jump of assets more accurately,and can describe the“Peak fat tail”and“Volatility smile”of assets.

关 键 词：双指数跳扩散模型 蒙特卡洛 沪深300ETF 期权定价 

分 类 号：F832.5[经济管理—金融学]