| 双侧伽马期权定价与B-S模型的比较研究 |
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| 引用本文： | 雷鸣,陈舒忻,叶五一.双侧伽马期权定价与B-S模型的比较研究[J].运筹与管理,2021,30(7):190-194. |
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| 作者姓名： | 雷鸣 陈舒忻 叶五一 |
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| 作者单位： | 1.南京财经大学 金融学院,江苏 南京 210023; 2.中国科学技术大学 管理学院,安徽 合肥 230026 |
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| 基金项目： | 国家自然科学基金资助项目(71973133,71671171) |
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| 摘 要： | 本文首次运用双侧伽马分布对上证50ETF期权定价进行实证研究,并与经典的B-S模型进行比较。实证结果表明:采用双侧伽马模型来估算期权的理论价格,无论是在95%置信区间下还是在99%置信区间下,双侧伽马模型对于期权价格的测定都要优于B-S模型期权定价,因此,双侧伽马模型可以作为B-S模型的一种改进。
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| 关 键 词： | 期权定价 B-S模型 双侧伽马分布 偏离度 |
| 收稿时间： | 2019-08-28 |
A Comparative Study of Option Pricing Models: Based on Bilateral Gamma Distribution Model and B-S Model |
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| LEI Ming,CHEN Shu-xin,YE Wu-yi.A Comparative Study of Option Pricing Models: Based on Bilateral Gamma Distribution Model and B-S Model[J].Operations Research and Management Science,2021,30(7):190-194. |
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| Authors: | LEI Ming CHEN Shu-xin YE Wu-yi |
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| Institution: | 1. School of Finance, Nanjing University of Finance & Economics, Nanjing 210023, China; 2. School of Management,University of Science and Technology of China, Hefei 230026, China |
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| Abstract: | This paper first uses bilateral gamma distribution model to study the pricing of Shanghai 50ETF option and compares it with the classical B-S model. The empirical results show that the theoretical price of options is estimated by using bilateral gamma model. Whether it is in 95% confidence interval or 99% confidence interval, the two-sided gamma model is better than Option Pricing of B-S model. Therefore, bilateral gamma model can be used as an improvement of B-S model. |
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| Keywords: | option pricing B-S model the bilateral gamma distribution deviation degree |
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