求解期权定价问题的熵保险精算方法.pdfVIP

辽宁工程技术大学学报(自然科学版) 2010 年 6 月 第 29 卷第 3 期 Vo 1.29 NO.3 Joumal of Liaoníng Technical University (Natural Science) Jun. 2010 文章编号: 1008-0562(2010)03-0513心4 求解期权定价问题的煽保险精算方法 李英华 1 ，李兴斯2 (1.大连理工大学应用数学系，辽宁大连 116023; 2.大连理工大学工业装备结构分析国家重点实验室，辽宁大连 116023) 摘 要z 为了求解不完全市场的期权价格，提出了基于娟的保险精算方法。方法考虑期权卖方的最大权益、分析 了保险精算期权定价执行条件，结合标的资产价格的历史信息，运用最大偏原理求出标的资产的概率密度，以此 为基础计算损失变量的概率密度，依据保险精算方法可知，损失变量在此概率密度下的期望值即为期权的价格。 经 HSI 指数和 SP500 指数的部分指数作为标的资产的期权实证检验，可发现新方法不仅比 B.S 公式蕴含更平 坦的隐含波动率，而且进一步印证了传统保险定价过低和 B-S 定价偏高的情况。 关键词2 期权定价;最大娟原理:保险精算方法 中图分类号: F 830. 9 文献标识码:A An actuarial approach for solving option pricing problems based on entropy l 2 LI Yinghua , LI Xingsi ( 1. Department ofApplied Mathemati囚， DaIian University ofTechnolo霄， DaIian 116024, China; 2. State K，町Lab. for 锐ructural Ana川ysis of Industrial Equipmen也 Dalian University ofTechnology,Dalian 116024,China) Abstract: To obtain the option price in an incomplete market, this paper proposes an actuarial approach based on entropy. The proposed method ensures the option issuers best interests and analyzes the execution conditions of an ac阳arial approach to option pricing. Based on the historical information of the underlying assets price，也e underlying assets price probability distribution is computed using the maximum entropy formalism. Therefore，也e probability distribution of the loss variable can be derieved. The option price equals the expected value of the loss variable. After analyzing the option price with the partitioned 由ta ofthe underlying assets HSI index and SP500 index, it concludes that the implied volatility of the proposed new method is flatler than that ofB.S formula. Also , it further verifies the view that the traditional insurance method prici