分数跳-扩散过程下具有机制转换的欧式期权定价
European option pricing model in fractional jump-diffusion process with regime switching
李雨珊 1惠雨馨 1薛红1
作者信息
- 1. 西安工程大学 理学院,西安 710048
- 折叠
摘要
考虑股票价格变动的非Markov性、波动率微笑现象以及突发事件的影响,在分数跳-扩散过程下建立具有机制转换的股票价格模型,以沪深 300ETF期权为研究对象,采用蒙特卡洛模拟方法对欧式期权的保险精算价格进行数值模拟分析,结果表明分数跳-扩散过程下具有机制转换的股票价格模型更适应于实际金融市场.
Abstract
In this paper,the long-term dependence,no-constant volatility of stock price and the impact of real financial market emergencies were considered,the stock price model in fractional jump-diffusion process with regime switching was established,the actuarial method and Monte Carlo simulation algorithm were used to price the convertible bond,the marketdata of Shanghai Bank Securities and Shanghai Bank convertible bond were used for empirical analysis.The empirical results showed that,the stock price model in fractional jump-diffusion process with regime switching was more suitable for the actual financial market.
关键词
分数布朗运动/跳-扩散过程/机制转换/蒙特卡洛模拟/沪深300ETFKey words
fractional Brownian motion/jump-diffusionprocess/regime switching/Monte Carlo simulation/300ETF引用本文复制引用
基金项目
陕西省自然科学基础研究计划(2016JM1031)
出版年
2024
国家科技期刊平台
NSTL
万方数据