非参数方法在金融资产定价中的应用  

Application of Nonparametric Method inFinancial Asset Pricing

作　　者：余小青 

机构地区：[1]东华大学,上海

出　　处：《金融》2019年第1期34-40,共7页Finance

摘　　要：随着第五届互联网大会在浙江乌镇召开,重点讨论了人工智能、大数据、5G、数字丝路等主题,随着这些技术的不断发展,我国经济尤其金融数据结构也将不断地发生变化,对数据的分析要求也越来越高。较之传统的参数建模,非参数在模型假设及设定方面有更大的灵活性。文章介绍了非参数方法在期权定价、债券定价、基金定价及股票定价方面的运用,对非参模型及其估计方法的研究具有重要的理论和现实意义。With the 5th Internet Conference held in Wuzhen, Zhejiang Province, the topics such as artificial intelligence, big data, 5G, digital silk road were mainly discussed. With the continuous development of these technologies, the economic data structure of China’s economy will continue to change. The analytical requirements for data are more and more increasing. Compared to traditional parametric modeling, there is greater flexibility in model assumptions and settings for non-parametric ones. This paper introduces the application of non-parametric methods in option pricing model, bond pricing model, fund pricing model and stock pricing model. There is important theoretical and practical significance for the study of non-parametric models and their estimation methods.

关 键 词：非参数方法 核函数 最优窗宽 

分 类 号：F2[经济管理—国民经济]