数量经济技术经济研究
數量經濟技術經濟研究
수량경제기술경제연구
The Journal of Quantitative & Technical Economics
2010年
7期
132~141
,共null页
期权组合 市场风险度量 风险值 快速卷积方法 t分布
期權組閤 市場風險度量 風險值 快速捲積方法 t分佈
기권조합 시장풍험도량 풍험치 쾌속권적방법 t분포
Options Portfolio; Measuring Market Risk; Value-at- Risk; Fast Convolution Method; t Distribution
为了度量期权组合市场风险，本文引入快速卷积方法到期权组合市场风险度量模型，计算出市场变量回报厚尾特征用t分布描述情形下的期权组合风险值，该方法有效地克服了市场变量回报厚尾分布情形下的期权组合市场风险度量方面的困难。数值结果表明，快速卷积方法和Monte—Carlo方法估算精度相差不大，但快速卷积方法计算时间和计算工作量明显少于Monte～Carlo方法。
為瞭度量期權組閤市場風險，本文引入快速捲積方法到期權組閤市場風險度量模型，計算齣市場變量迴報厚尾特徵用t分佈描述情形下的期權組閤風險值，該方法有效地剋服瞭市場變量迴報厚尾分佈情形下的期權組閤市場風險度量方麵的睏難。數值結果錶明，快速捲積方法和Monte—Carlo方法估算精度相差不大，但快速捲積方法計算時間和計算工作量明顯少于Monte～Carlo方法。
위료도량기권조합시장풍험，본문인입쾌속권적방법도기권조합시장풍험도량모형，계산출시장변량회보후미특정용t분포묘술정형하적기권조합풍험치，해방법유효지극복료시장변량회보후미분포정형하적기권조합시장풍험도량방면적곤난。수치결과표명，쾌속권적방법화Monte—Carlo방법고산정도상차불대，단쾌속권적방법계산시간화계산공작량명현소우Monte～Carlo방법。
To measure market risk of options portfolio, this paper introduces a fast convolution method into measuring model of market risk of options portfolio, and has computed VaR values of options portfolio under heavytailed underlying returns having been depicted with t distribution. The method has overcome difficul- ties associated with measuring risk of options portfolio with heavy- tailed underly- ing returns. Numerical results show that the VaR values using fast convolution method is slight difference in the VaR values using Monte Carlo simulation method. However, the calculation time and effort using fast convolution method is obviously less than that of Monte Carlo simulation method.
