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1.
期权定价模型的构建过程中,单因子随机波动率模型生成的波动率曲线形状与波动率水平相关性微弱,且无法确切反映波动过程的状态转移特征。为此,本文使用连续马尔可夫链刻画波动状态,在Heston模型的基础上,针对其方差动态过程中所有参数均为波动状态任意函数的情景,得到了一类具有状态转移特征的随机波动率模型;进一步,根据条件仿射模型的特征函数,结合波动路径的蒙特卡罗模拟,实现了欧式期权半解析定价,其中,采用基于粒子滤波的极大似然估计方法估计模型参数;特别地,对上证50ETF期权进行了实证研究。结果表明:具有状态转移特征且方差的基准长期均值及波动率均依赖于波动状态的随机波动率模型,能够显著提升上证50ETF期权定价的准确性和稳健性。  相似文献   

2.
《数理统计与管理》2019,(6):1119-1128
在GARCH随机波动率模型基础上,建立了带有"杠杆效应",双重跳与"风险溢价",因子的G-SVCJ和G-SVIJ模型。考虑"杠杆效应"以及标的资产价格和波动率两方面的跳跃和"风险溢价",利用基于有效重要性抽样方法的极大似然估计(EIS-ML),估计了G-SV,G-SVJ,GSVCJ,G-SVIJ模型的参数,并利用沪深300指数与恒生指数进行实证分析。结果说明了中国股市存在"跳跃"现象、"杠杆效应"以及"风险溢价",同时表明G-SVCJ和G-SVIJ模型更有效。  相似文献   

3.
利用马尔科夫状态转移.ARCH模型(SWARCH)来研究中国股票市场行业板块的波动性和相关性.首先对证监会划分的18个一级行业进行初步分析,建立单变量SWARCH模型,发现中国股票市场各行业板块均能够显著地分为高波动和低波动两个区制;接着利用双变量SWARCH模型对行业板块间的相关性进行研究,发现各行业板块之间的相关性在高波动区制显著高于低波动区制.所得的研究结论可以为投资者提高投资组合收益率提供参考依据.  相似文献   

4.
针对平滑转移模型参数估计不确定性导致的协整检验方法相对复杂问题,提出基于平滑转移模型的贝叶斯非线性协整分析。通过模型的统计结构分析,选择参数先验分布,结合参数的后验条件分布特征设计Metropolis-Hasting-Gibbs混合抽样方案,据此估计平滑转移模型的参数,并对回归残差进行贝叶斯单位根检验,解决参数估计过程中遇到的参数估计不确定性及协整检验复杂的问题;利用人民币对美元汇率与中美两国的利率数据进行实证分析。研究结果表明:MH-Gibbs抽样方案能够有效估计平滑转移模型的参数,中美汇率波动和利差之间存在平滑转移协整关系。  相似文献   

5.
基于马尔科夫链蒙特卡罗(MCMC)模拟的贝叶斯(Bayes)分析方法,应用随机波动(SV)模型实证分析06、07年度中国股票市场指数的波动性,并对比沪市与深市的股指,对不同形式的SV模型的参数进行估计,对结论作出合理的解释.  相似文献   

6.
文章对中国瞬时利率动态行为进行了实证研究,比较了一类马尔可夫状态转换加随机波动扩散模型。与以往研究不同,文章对模型所有参数采用基于Gibbs抽样的马尔可夫链蒙特卡罗模拟方法进行估计。同时,通过MAE(绝对误差平均值)、MRSE(平方误差均值)、调整R~2、对数损失函数LL以及非参数Wilcoxon检验对各种模型的样本内与样本外预测能力进行了分析与比较,结果表明:中国利率市场确实存在马尔可夫状态转换现象,其中Smith模型更适合刻画国内瞬时利率动态行为。  相似文献   

7.
《数理统计与管理》2019,(1):115-131
传统上,期权定价主要基于Black-Scholes (B-S)模型。但B-S模型不能描述时变波动率以及解释"波动率微笑"现象,导致期权定价存在较大的误差。随机波动率模型克服了B-S模型的这些缺陷,能够合理地刻画波动率动态性和波动率微笑。基于此,本文考虑随机波动率模型下的期权定价问题,并针对我国上证50ETF期权进行实证分析。为了解决定价模型的参数估计问题,采用上证50ETF及其期权价格数据,建立两步法对定价模型的参数进行估计。该估计方法保证了定价模型在客观与风险中性测度下的一致性。采用2016年1月到2017年10月的上证50ETF期权价格数据为研究样本,对随机波动率模型进行了实证检验。结果表明,无论是在样本内还是样本外,随机波动率模型相比传统的常数波动率B-S模型都能够获得明显更为精确和稳定的定价结果,B-S模型的定价误差总体偏大且呈现较高波动,凸显了随机波动率对于期权定价的重要性。另外,随机波动率模型对于短期实值期权的定价相比对于其它期权的定价要更精确。  相似文献   

8.
波动率风险溢价包含了关于投资者风险厌恶的重要信息,它的估计是金融计量学文献关注的一个核心问题。本文基于香港权证市场数据和GARCH扩散随机波动率(SV)模型,对香港证券市场的波动率风险溢价进行了估计研究。采用香港恒生指数和指数权证数据,通过建立基于有效重要性抽样的极大似然(EIS-ML)方法联合估计了GARCH扩散模型的客观与风险中性测度,进而得到了香港证券市场的波动率风险溢价。研究结果发现,在香港证券市场上,市场投资者对波动率风险进行了定价,即存在波动率风险溢价,且波动率风险溢价在绝大多数情形下为正,说明市场投资者总体表现为风险爱好。  相似文献   

9.
针对股指波动所具有的动态结构信息特征,在状态空间建模理论的框架下,将服从Markov过程的潜在波动状态变量引入状态方程,同时在观测方程中考虑极值点的影响,构造出一类非高斯Markov随机波动状态空间模型。针对传统的MCMC方法对该类模型估计时效率低下的缺陷,设计了基于序贯Monte Carlo方法的贝叶斯滤波算法进行仿真分析,并且从算法效率和准确性方面对两种方法进行了比较。通过对沪深300股指波动的实证研究表明:对于一类非线性非高斯状态空间模型,贝叶斯滤波算法在保证估计精度的同时较MCMC方法更加有效率,能够有效刻画股指波动的动态结构特征。  相似文献   

10.
在随机波动率模型中,由于波动率是不可观测,因此相应的参数估计和统计推断比较困难.将应用真实波动率近似估计积分波动率,进一步基于高斯估计方法给出非线性扩散模型的线性估计,而后再给出随机波动率模型精确的极大似然估计方法.最后,采用上证综合指数和深证成份指数对一系列随机波动率模型进行实证的研究.实证结果表明,均方根模型(Heston模型)较好地描述上证综合指数动态行为,而对于深证成份指数的描述在统计意义上没有显著地解释力.  相似文献   

11.
使用BEKK—二元GARCH(1,1)模型,对于我国股票市场和国际主要股票市场之间的波动溢出效应进行了实证研究.分析结果表明,上证综指和标准普尔500指数、日经225指数之间存在单向波动溢出效应,而上证综指和香港恒生指数之间存在双向波动溢出效应,上证综指和新加坡海峡时报指数之间不存在波动溢出效应.  相似文献   

12.
In this paper, we propose a stochastic conditional range model with leverage effect (henceforth SCRL) for volatility forecasting. A maximum likelihood method based on the particle filters is developed to estimate the parameters of the SCRL model. Simulation results show that the proposed methodology performs well. We apply the proposed model and methodology to four stock market indices, the Shanghai Stock Exchange Composite Index of China, the Hang Seng Index of Hong Kong, the Nikkei 225 Index of Japan, and the S&P 500 Index of US. Empirical results highlight the value of incorporating leverage effect into range modeling and forecasting. In particular, the results show that our SCRL model outperforms the conditional autoregressive range model, the conditional autoregressive range model with leverage effect, and the stochastic conditional range model in both in‐sample fit and out‐of‐sample forecast.  相似文献   

13.
This paper studies Heath–Jarrow–Morton‐type models with regime‐switching stochastic volatility. In this setting the forward rate volatility is allowed to depend on the current forward rate curve as well as on a continuous time Markov chain y with finitely many states. Employing the framework developed by Björk and Svensson we find necessary and sufficient conditions on the volatility guaranteeing the representation of the forward rate process by a finite‐dimensional Markovian state space model. These conditions allow us to investigate regime‐switching generalizations of some well‐known models such as those by Ho–Lee, Hull–White, and Cox–Ingersoll–Ross.  相似文献   

14.
A model is developed for pricing volatility derivatives, such as variance swaps and volatility swaps under a continuous‐time Markov‐modulated version of the stochastic volatility (SV) model developed by Heston. In particular, it is supposed that the parameters of this version of Heston's SV model depend on the states of a continuous‐time observable Markov chain process, which can be interpreted as the states of an observable macroeconomic factor. The market considered is incomplete in general, and hence, there is more than one equivalent martingale pricing measure. The regime switching Esscher transform used by Elliott et al. is adopted to determine a martingale pricing measure for the valuation of variance and volatility swaps in this incomplete market. Both probabilistic and partial differential equation (PDE) approaches are considered for the valuation of volatility derivatives.  相似文献   

15.
Motivated by economic and empirical arguments, we consider a company whose cash surplus is affected by macroeconomic conditions. Specifically, we model the cash surplus as a Brownian motion with drift and volatility modulated by an observable continuous-time Markov chain that represents the regime of the economy. The objective of the management is to select the dividend policy that maximizes the expected total discounted dividend payments to be received by the shareholders. We study two different cases: bounded dividend rates and unbounded dividend rates. These cases generate, respectively, problems of classical stochastic control with regime switching and singular stochastic control with regime switching. We solve these problems, and obtain the first analytical solutions for the optimal dividend policy in the presence of business cycles. We prove that the optimal dividend policy depends strongly on macroeconomic conditions.  相似文献   

16.
基于跳跃、好坏波动率的视角,采用比ABD检测更稳健的ADS检测法进行甄别跳跃,提出HAR改进模型,进一步考虑到实际波动率的非线性和高持续性动态,文章引入马尔科夫状态转换机制以构建对应的MRS-HAR族模型,推导其参数估计方法,并运用滚动时间窗预测技术和MCS检验评估预测模型结果,并采取不同的窗口期进行稳健性检验.以上海期货交易所的黄金连续(AU0)期货合约为研究对象,实证研究表明:结合马尔科夫状态转换机制,跳跃波动在上涨行情时会抑制未来波动性;结合马尔科夫状态转换机制,好坏波动率在上涨行情时正负冲击相对平衡,而在下跌行情时好(坏)波动率抑制(加剧)未来波动性;MCS检验证实,结合马尔科夫状态转换的MRS-HAR族模型相比于HAR族模型具有更优的预测精度,进一步考虑由ADS检测修正的好坏波动率和符号跳跃能够改善波动率模型的预测能力,其中基于符号跳跃和马尔科夫状态转换的MRS-HAR-RV-SJ模型展现了最高的预测精度.  相似文献   

17.
This paper proposes a novel Bayesian semiparametric stochastic volatility model with Markov switching regimes for modeling the dynamics of the financial returns. The distribution of the error term of the returns is modeled as an infinite mixture of Normals; meanwhile, the intercept of the volatility equation is allowed to switch between two regimes. The proposed model is estimated using a novel sequential Monte Carlo method called particle learning that is especially well suited for state‐space models. The model is tested on simulated data and, using real financial times series, compared to a model without the Markov switching regimes. The results show that including a Markov switching specification provides higher predictive power for the entire distribution, as well as in the tails of the distribution. Finally, the estimate of the persistence parameter decreases significantly, a finding consistent with previous empirical studies.  相似文献   

18.
本文利用资产价格的极差序列,基于常规GARCH模型的框架,构造了一类关于波动率的新模型,即GARCH-R模型以及能够表达波动率变化非对称性特性的AGARCH-R模型。利用上证综合指数日收益率及相应的高频数据,通过比较不同模型对波动率以及VAR的预测效果,揭示了这种包含了极差信息的新的模型比传统的GARCH类模型的预测效果具有显著的优势。  相似文献   

19.
This article investigates the valuation of currency options when the dynamic of the spot Foreign Exchange (FX) rate is governed by a two-factor Markov-modulated stochastic volatility model, with the first stochastic volatility component driven by a lognormal diffusion process and the second independent stochastic volatility component driven by a continuous-time finite-state Markov chain model. The states of the Markov chain can be interpreted as the states of an economy. We employ the regime-switching Esscher transform to determine a martingale pricing measure for valuing currency options under the incomplete market setting. We consider the valuation of the European-style and American-style currency options. In the case of American options, we provide a decomposition result for the American option price into the sum of its European counterpart and the early exercise premium. Numerical results are included.  相似文献   

20.
In this paper,we consider a Markov switching Lévy process model in which the underlying risky assets are driven by the stochastic exponential of Markov switching Lévy process and then apply the model to option pricing and hedging.In this model,the market interest rate,the volatility of the underlying risky assets and the N-state compensator,depend on unobservable states of the economy which are modeled by a continuous-time Hidden Markov process.We use the MEMM(minimal entropy martingale measure) as the equivalent martingale measure.The option price using this model is obtained by the Fourier transform method.We obtain a closed-form solution for the hedge ratio by applying the local risk minimizing hedging.  相似文献   

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