摘要
研究了欧式幂期权定价公式中价格的渐近无偏估计和隐含波动率估计的统计特性。利用Chaudhury M.M(1989)提出的研究欧式期极定价公式中渐近无偏估计的方法以及隐含波动率求解方法,研究了两种欧式幂型看涨期权定价公式(欧式看涨期权的价值定义分别为m ax(STα-X,0)和m ax(STα-Xa,0)中的隐含波动率的估计的统计特征、幂函数的幂指数选取以及两种幂函数期权定价公式的优劣。Monte-Carlo统计计算的模拟结果说明。幂期权定价公式中幂指数α取值应为α>0,而且欧式看涨期权的价值定义为m ax(STα-Xα,0)更为合理。
The statistical properties of approximately unbiased estimation of European call valuation and implied volatility from European power ftmetion option are investigated. Applied the approximately unbiased estimation technique proposed by Chaudhury M. M （1989） and the traditional implied volatilility calculation method, We discuss the approximately unbiased estimation of European call valuation of power function option formula, the range of the power index et of power function, and the effectiveness of two power function option, which are max （ST^α - X^α, 0） and max （ST^α-X^α,0）. The Monte -Carlo simulations show that, the range of power index shouid be α 〉0 and the type of power function option ax（ST^α -X^α, 0） is more reasonable than max（ST^α -X, 0）.
出处
《数理统计与管理》
CSSCI
北大核心
2007年第6期1019-1026,共8页
Journal of Applied Statistics and Management
