基于广义误差分布的期权定价模型研究
首发时间:2008-06-30
摘要:针对我国上市公司权证市场的发展情况,本文对传统Black—Scholes期权定价模型中标的资产价格服从对数正态分布这一假设条件进行了修正,提出了标的资产价格服从对数广义误差分布的假设,并且通过实证研究得出,标的资产价格服从对数广义误差分布以及广义误差期权模型的定价与实际情况较为相符的结论。
关键词: Black—Scholes模型 广义误差分布 协整检验 拟合优度
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esearch of Option Pricing Model Based onGeneralized Error Distribution
Abstract:Aiming at the development of the warrants of our listed corporations, this paper modifies the hypothesis condition of the traditional Black-Scholes option pricing model that the price of captioned capital follows the logarithmic normal distribution and put forth the hypothesis condition that the price of captioned capital follows the logarithmic generalized error distribution. The positive research concludes that the price of captioned capital follows the logarithmic generalized error distribution and the generalized error distribution option pricing performs more coincidently with the actual situation.
Keywords: Black-Scholes Models generalized error distribution cointegration test goodness of fitness
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