期权价格函数的局部多项式估计

Local Polynominal Estimation of Option-trading Function

  • 摘要: 本文直接从期权交易价格出发,利用非参数回归方法估计期权定价函数.首先给出期权价络函数的局部多项式估计,然后利用Black-Scholes公式讨论窗宽的确定,再给出期权价格函数的两步估计方法,最后对芝加哥商业交易所的英镑期货期权数据作了实际计算。

     

    Abstract: This article starts from the option-trading price,using nonparametric regression methods to estimate option-pricing function. It first gives out the local polynominal estimation of option pricing function,then makes use of Black-Scholes’ function to discuss the establishment of window width, and then presents two steps estimation methods of option pricing function. Finally, it, makes the practical calculation oil the data of Sterling future option of Chicago Mercantile Exchange.

     

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