运筹与管理2017，Vol.26Issue(11)：161-168,8.DOI:10.12005/orms.2017.0274
基于非对称GARCH-GH的期权定价公式及实证分析
Option Pricing Model Based on Asymmetric GARCH-GH and Its Empirical Analysis
摘要
Abstract
In this paper,the Eerser measurement transformation technique is used to construct the asymmetric GARCH-GH option pricing formula.In this formula,the non normal distribution and the asymmetric GARCH model are used to describe the peak,the thick tail,the skewness distribution and the random fluctuation characteristics of the financial assets.The empirical results show that compared with the HN model (Heston and Nandi(2000)),which is called the new standard of option pricing,the pricing error of EGARCH-NIG model is small,and the pricing error of the EGARCH-NIG model is reduced by 26.24％ compared with the HN model.For the real valued option,the pricing errors of EGARCH-GH,GJR-GH and GJR-NIG model are less than the HN model.The estimation error and the real valued degree is negative correlation:the real valued degree is stronger,and the error is smaller.关键词
期权定价公式/广义双曲分布族(GH)/非对称GARCH/Eerser测度转换技术Key words
option pricing formula/ generalized hyperbolic family/ asymmetric GARCH/ Eerser measurement conversion分类
管理科学引用本文复制引用
张高勋,张弘磊..基于非对称GARCH-GH的期权定价公式及实证分析[J].运筹与管理,2017,26(11):161-168,8.基金项目
国家自然科学基金青年项目(71702156) （71702156）
教育部人文社科研究基金青年项目(17YJC630098) （17YJC630098）
西南科技大学博士研究基金项目(15zx7139) （15zx7139）
重庆市教委科学技术研究项目(KJ1709235) （KJ1709235）
