CAJ | 학술논문

针对中国股价运动规律,提出一个带均值回归项的跳跃扩散模型,并以上证指数数据为例,给出模型的参数估计方法.结果表明该定价模型在单边市的情形下,能够比传统B-S公式更好的体现中国股市动态资产价格的运动过程.此外,还给出了基于带均值回归项的跳跃扩散模型的各种类型权证(美式、欧式和百慕大式)的模拟定价方法,并给出此模拟定价方法的实证结果.结果表明,该模型的对中国股市的拟合程度明显好于经典Black-Scholes期权定价公式.
침대중국고개운동규률,제출일개대균치회귀항적도약확산모형,병이상증지수수거위례,급출모형적삼수고계방법.결과표명해정개모형재단변시적정형하,능구비전통B-S공식경호적체현중국고시동태자산개격적운동과정.차외,환급출료기우대균치회귀항적도약확산모형적각충류형권증(미식、구식화백모대식)적모의정개방법,병급출차모의정개방법적실증결과.결과표명,해모형적대중국고시적의합정도명현호우경전Black-Scholes기권정개공식.
This paper presents a mean-reverting jump-diffusion model,with respect to recently China stock market movements.We also provide the statistical method of calibrating parameters,and give a calculate example of Shanghai stock index.The result shows that this model can take bulls,bears and shock into account,giving a very good fit of China stock dynamic assets movements.In addition,this paper also discusses pricing warrants(including European-Style,American-Style,and Bermuda-Style)under the proposed mean-regression jump-diffusion model.