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中国股市权证定价的带均值回归跳跃扩散模型
Authors
张敏
蔡宗武
陈敏
马宇超
Publication date
15 January 2010
Publisher
Abstract
针对中国股价运动规律,提出一个带均值回归项的跳跃扩散模型,并以上证指数数据为例,给出模型的参数估计方法.结果表明该定价模型在单边市的情形下,能够比传统B-S公式更好的体现中国股市动态资产价格的运动过程.此外,还给出了基于带均值回归项的跳跃扩散模型的各种类型权证(美式、欧式和百慕大式)的模拟定价方法,并给出此模拟定价方法的实证结果.结果表明,该模型的对中国股市的拟合程度明显好于经典Black-Scholes期权定价公式
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Last time updated on 16/06/2016