CAJ | 학술논문

本文应用局部多项式拟合方法来估计金融资产价格中隐含的状态价格密度(SPD),在较弱的条件下证明了SPD的估计是相合的.然后基于SPD我们提出了包含经济价值的VaR.从这个意义上讲它比传统的VaR更合理.最后针对Black-Scholes模型进行了数值模拟和失败率检验以评价本文方法的好坏.
본문응용국부다항식의합방법래고계금융자산개격중은함적상태개격밀도(SPD),재교약적조건하증명료SPD적고계시상합적.연후기우SPD아문제출료포함경제개치적VaR.종저개의의상강타비전통적VaR경합리.최후침대Black-Scholes모형진행료수치모의화실패솔검험이평개본문방법적호배.
The local polynomial fitting method is applied to estimate the state-price density (SPD) im- plicit in financial asset prices. It is shown that the estimator of SPD is consistent under mild conditions. Then the VaR (Value at Risk) based on SPD is proposed, which incorporates economic valuations, and thus is more reasonable than the traditional VaR. Simulations and test of invalidation are done for Black-Scholes models to assess the performance of the proposed method.