GARCH驱动下历史滤波服从Levy过程的期权定价.pdfVIP

1 27 ò1 3 Ï X Ú ó § Æ  Vol.27 No.3 2012 6  JOURNAL OF SYSTEMS ENGINEERING Jun. 2012 GARCH° Äe{ ¤È ÅÑlLevyL§ Ï ½d Ç ðø, Á4¯ (Ü H㲌 ƲL Eó§ Æ , oA ¤ Ñ 611130) Á ‡ : Ǒ Ǒ x é ê   Ç © Ù  k¸ !   Ý y – , Ó žN y Å Ä Ç 8 à  A , Ï { ¤ È Å . ï GARCH Å Ä Ç ° Ä e  { ¤ È Å © Ù, ¿ b  Ñ l « X a  Levy § l O  . ë ê , ? 1 Levy- GARCH  .  ) ê [u 9 Ï ½d  ¢y ï Ä. é a  .9 { ¤È Å [ , ( w « : Ø Ó . k X Ø Óº xd ; Xa  GARCH  . í O þ †½|êâk X û [  , Ï ½d° (Ý`  u a  GARCH  . . Ù ¥, TS © Ùé { ¤È Å[  Z ,CGMY-GARCH  . ½d°Ý Ǒ O( . … : { ¤ÈÅ ©Ù ¶GARCH . ¶LevyL§ ¶Ï ½ ¶º xÄ ¥ã© aÒ : F830 ©zI £è : A ©Ù? Ò : 1000−5781(2012)03−0327−11 Option pricing for historical filtering on Levy processes driven by GARCH WU Heng-yu, ZHU Fu-min ( School of Economic Information Engineering, Southwestern University of Finance Economics, Chengdu 611130, China) Abstract: In order to address the phenomena of leptokurtosis and heavy tail observed in index log-returns, and simultaneously reflect the volatility clustering effect, the paper models the filtering historical distribution under the GARCH process through the Historical Filtering model, and then estimates the parameters for empirical research of fitness test and option pricing in Hang Seng Index by assuming five kinds of pure-jump Levy processes. By comparing the non-