Model-based pricing for financial derivatives
文献类型：期刊论文
| 作者 | Zhu, Ke1 ; Ling, Shiqing2
|
| 刊名 | JOURNAL OF ECONOMETRICS
 |
| 出版日期 | 2015-08-01 |
| 卷号 | 187期号:2页码:447-457 |
| 关键词 | NGARCH EGARCH and GJR models Non-normal innovation Option valuation Risk neutralized measure Volatility skew |
| ISSN号 | 0304-4076 |
| DOI | 10.1016/j.jeconom.2015.02.030 |
| 英文摘要 | Assume that S-t is a stock price process and B-t is a bond price process with a constant continuously compounded risk-free interest rate, where both are defined on an appropriate probability space P. Let y(t) = log(S-t/St-1). yt can be generally decomposed into a conditional mean plus a noise with volatility components, but the discounted S-t is not a martingale under P. Under a general framework, we obtain a risk-neutralized measure Q under which the discounted St is a martingale in this paper. Using this measure, we show how to derive the risk neutralized price for the derivatives. Special examples, such as NGARCH, EGARCH and GJR pricing models, are given. Simulation study reveals that these pricing models can capture the "volatility skew" of implied volatilities in the European option. A small application highlights the importance of our model-based pricing procedure. (C) 2015 Elsevier B.V. All rights reserved. |
| 资助项目 | Hong Kong Research Grants Commission[HKUST641912] ; Hong Kong Research Grants Commission[HKUST603413] ; National Natural Science Foundation of China[11201459] ; National Natural Science Foundation of China[11371354] ; Chinese Academy of Sciences[2014-cjrwlzx-zk] ; Key Laboratory of RCSDS ; President Fund of the Academy of Mathematics and System Science |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000357348300005 |
| 出版者 | ELSEVIER SCIENCE SA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/20232]  |
| 专题 | 国家数学与交叉科学中心 |
| 通讯作者 | Ling, Shiqing |
| 作者单位 | 1.Chinese Acad Sci, Inst Appl Math, Beijing, Peoples R China 2.Hong Kong Univ Sci & Technol, Dept Math, Kowloon, Hong Kong, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhu, Ke,Ling, Shiqing. Model-based pricing for financial derivatives[J]. JOURNAL OF ECONOMETRICS,2015,187(2):447-457. |
| APA | Zhu, Ke,&Ling, Shiqing.(2015).Model-based pricing for financial derivatives.JOURNAL OF ECONOMETRICS,187(2),447-457. |
| MLA | Zhu, Ke,et al."Model-based pricing for financial derivatives".JOURNAL OF ECONOMETRICS 187.2(2015):447-457. |
入库方式： OAI收割
来源：数学与系统科学研究院
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