基于参数学习的GARCH动态无穷活动率LEVY过程的欧式期权定价..docx

第34卷第10期 系统工程理论与实践V01.34, No.10 2014年10月 Systems Engineering Theory＆Practice Oct.,2014 ==========================================================;======================================================================================================== 文章编号：1000-6788(2014)10-2465-18 中图分类号：F830 文献标志码：A 基于参数学习的GARCH动态无穷活动率Levy过程的欧式期权定价吴恒煜-二，朱福敏，，s，胡根华.，温金明t （1.西南财经大学金融安全协同创新中心经济信息工程学院，成都611130;2.西南财经大学中国金融研究中心，成都611130;3.纽约州立大学石溪分校应用数学与统计系商学院，纽约11794;4.加拿大麦吉尔大学数学与统计学院， 蒙特利尔H3A 2K6) 摘要在股票价格中引入漂移率、波动率和随机跳跃三种状态，建立动态状态空间模型，并通过局部风险中性定价关系(RNVR)推导无套利定价模型，以非高斯条件ARMA-NGARCH为基准模型，构建S＆P500指数的离散动态Levy过程，并基于序贯贝叶斯的参数学习方法，进行模型估计和期权定价研究.结果表明：动态Levy过程能够联合刻画时变漂移率、条件波动率和无穷活动率等特征，且贝叶斯方法的引入提高了期权隐含波动率的定价精度，同时，无穷活动率模型在期权定价方面具有显著优势.在五类滤波中，无损粒子滤波估计精度最高，速降调和稳态过程(RDTS)的期权定价误差最小，而非高斯模型在收益率预测方面没有表现出显著的差异. 关键词动态Levy过程；杠杆效应；粒子滤波；参数学习；期权定价European option pricing for GARCH dynamic infinite activity Levy processes based on parameter learning WU Heng-yu.2, ZHU Fu_min.3, HU Gen-hua, WEN Jin-ming4 (1. Collaborative Innovation Center of Financial Security, School of Economic Information Engineering, Southwestern University of Finance Economics, Chengdu 611130, China; 2. Center of Chinese Financial Studies, Southwestern University of Finance Economics, Chengdu 611130, China; 3. Department of Applied Mathematics Statistics, College of Business, SUNY at Stony Brook, New York 11794, USA; 4. Department of Mathematics Statistics, McGill University, Montreal H3A 2K6, Canada) Abstract In this paper, we consider a three-dimension state space model for establishing a discrete-time dynamic Levy process, including time-varying drift, conditional volatility and stochastic jump activity. Then we obtain the equivalent non-arbitrage pricing model through local risk-neutral valuation relationship (RNVR). Taking non-Gaussian ARMA-NGARCH model as our benchmark, we construct a discrete time dynamic Levy process with GARCH effect for modeling SP500 index. Furthermore we jointly estimate the parameters of the model and study