Pareto-Beta跳扩散期权定价模型的校正被引量：3

Calibration of Pareto-Beta jump-diffusion option pricing model

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摘要为校正Pareto-Beta跳扩散期权定价模型,首先,利用Pareto-Beta跳扩散模型和双指数跳扩散模型之间的联系使模型参数减少,然后,通过使欧式期权价格和相应的市场价格之间的均方误差最小将模型校正问题转化为局部最优化问题,通过在均方误差项增加一个惩罚函数保证了解的存在性和唯一性.为了提高模型校正的效率,利用快速傅立叶变换方法计算欧式期权价格.最后,将模型和校正算法应用于S&P 500指数期权进行实证分析,数值结果显示,所提校正算法具有较好的稳定性. The purpose of this paper is to provide an efficient calibration algorithm of the Pareto-Beta jump-diffusion option pricing model. Firstly, the approach exploits the connection between the Pareto-Beta jump-diffusion model and the double exponential jump-diffusion model to reduce the number of parameter to be estimated. Then, the reduced model is calibrated by minimizing the square error between the European option price and the corresponding market price. Regularization by adding a penalty function to the square error term assures uniqueness and stability of the solution. European option price is calculated by fast Fourier transform method that helps greatly in the speed-up of the recursion. At last, the model and calibration algorithm are applied to the S＆P 500 index options. Results show that the proposed calibration algorithm has better stability.

作者张素梅

机构地区西安邮电大学理学院

出处《辽宁工程技术大学学报（自然科学版）》 CAS 北大核心 2016年第9期998-1001,共4页 Journal of Liaoning Technical University (Natural Science)

基金国家自然科学基金项目(11426176) 陕西省教育厅基金项目(14JK1672) 西安邮电大学青年教师基金项目(ZL2013-33)

关键词模型校正优化方法期权定价快速傅立叶变换 Pareto-Beta跳扩散模型双指数跳扩散模型 model calibration optimization method option pricing fast Fourier transform Pareto-Beta jumpdiffusion model double exponential jump-diffusion model

分类号 F830.9 [经济管理—金融学]

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参考文献13

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