SV模型下的期权定价和风险计量

Using SV Model to Price Option and Measure its Risk

  • 摘要: 本文利用SV(Stochastic Variance)模型对期权基础资产的收益过程进行统计描述,在同时给出期权定价和市场风险计量之后,又给出定价置信区间和风险置信区间的估计.文中对SV模型作了分析和比较,利用自适应滤波方法对模型的建立和参数的估计给出了简单的方法,最后还对SV模型作了模拟分析并计算了期权定价和风险计量的一个例子。

     

    Abstract: In this paper, the return process of the underlying asset is firstly been modelled by using SV(Stochastic Variance) Model, then methods of option pricing and its risk measurement are given, confidential intervals of option price and its risk measurement can also be obtained. At the same time, some comparatively studies between the SV Model and ARCH Model are made, self-adapt filter is used to model and estimate parameters. In the end of this paper, a simulation example shows the power of the SV Model, and a true data computation illustrates how to use SV Model to price option and measure its risk.

     

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