邱虹.基于Lévy过程的一篮子期权定价研究[J].,2017,(1):69-73
基于Lévy过程的一篮子期权定价研究
Research on a Basket Option Pricing Based on Lévy Process
投稿时间:2016-10-21  
DOI:
中文关键词:  Lévy过程  一篮子期权  期权定价
English Keywords:Lévy process  a basket option  option pricing
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作者单位
邱虹 天津科技大学 经济与管理学院,天津300222 
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中文摘要:
      文章充分考虑了带跳金融市场的实际特征,因为Lévy过程能准确地刻画股票市场的运动,故引入Lévy过程构建一篮子期权定价模型,通过三阶矩匹配的方法获得一篮子期权的近似分布。最后通过指数挂钩担保投资凭证中7支股票指数组成的一篮子期权对经典Black-Scholes模型与3类Lévy过程定价结果进行比较。结果体现了Lévy过程在带跳的金融市场下,对一篮子期权定价的优越性。
English Summary:
      This paper takes into account the actual characteristics of the financial markets with jumps. Because the Lévy process can accurately depict the movement of the stock market, a Lévy process is introduced to construct a basket option pricing model, and obtain the approximate distribution of a basket option by the third moment matching method. Finally, the classical Black-Scholes model with three types of Lévy process pricing is compared by using a basket of options indexed by the index-linked security index. The results show the superiority of Lévy process to pricing a basket of options in a financial market with jumps.
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