带杠杆效应的条件无穷纯跳跃Levy过程期权定价①-EditorialExpress.PDF

带杠杆效应的条件无穷纯跳跃Levy 过程期权定价① 1,2 1 3 吴恒煜 ，朱福敏，温金明 (1.西南财经大学，经济信息工程学院，四川，成都，611130； 2.华南理工大学工商管理学院，广东，广州，510640 3.加拿大麦吉尔大学，数学与统计学院，魁北克，蒙特利尔，H3A 2K6) 摘要:考虑股票收益与波动的负相关关系，建立了漂移率和波动率随条件变化的时变无穷纯跳跃Levy 过程。根据局部鞅测度变换方法，推导了条件Levy 过程的风险中性定价模型，运用于恒生指数期权 进行实证研究。研究结果表明：带杠杆效应的条件Levy 过程联合刻画了资产价格的漂移率、时变方 差、非高斯随机扰动新息及非对称波动率四种状态，并具有广泛的适用性；无穷纯跳跃调和稳态模 型相比布朗运动、有限跳扩散及Variance Gamma 过程有更好的尖峰肥尾的刻画能力；考虑杠杆效应 后，条件Levy 过程的期权定价能力得到极大改善，速降调和稳态过程期权综合定价能力依然更稳健。 关键词: 杠杆效应；条件Levy 过程；无穷纯跳跃调和稳态；ARMA-NGARCH 模型；期权定价。 中图分类号：F830 文献识别码：A 文章编号： Option Pricing Based on Conditional Infinite Pure Jump Levy Processes with Leverage Effect 1,2 1 3 Hengyu WU , Fumin ZHU , Jinming Wen (1 School of Economic Information Engineering, Southwestern University of Finance Economics, Chengdu 611130,China ; 2 School of Business Administration, South China University of Technology, Guangzhou 510640, China; 3, The Department of Mathematics and Statistics, McGill University, Montreal,PQ H3A 2K6) Abstract: Considering the stock return and volatility in negative correlation, this paper established a short-term expectations and volatility with the changing conditions in the time-varying infinite pure jump Levy processes. According to a local martingale measure transformation method, we derived the conditional risk neutral pricing model of Levy processes, used in the Hang Seng Index options for empirical research. Research results show that: the conditional Levy processes with the leverage effect joint ly portray the asset price drift rate, time-varying variance, Non-Gauss random innovation of new information and asymmetric volatility in four sta