双侧伽马期权定价与B-S模型的比较研究

doi:10.12005/orms.2021.0232

运筹与管理 ›› 2021, Vol. 30 ›› Issue (7): 190-194.DOI: 10.12005/orms.2021.0232

双侧伽马期权定价与B-S模型的比较研究

雷鸣¹, 陈舒忻¹, 叶五一²

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

收稿日期:2019-08-28 出版日期:2021-07-25
作者简介:雷鸣(1968-),男,安徽合肥人,教授,博士,研究方向:资本市场与银行业;陈舒忻(1994-),女,山东泰安人,研究生,研究方向:商业银行;叶五一(1979-),男,山东安丘人,副教授,博士,研究方向:金融工程。
基金资助:
国家自然科学基金资助项目(71973133,71671171)

A Comparative Study of Option Pricing Models: Based on Bilateral Gamma Distribution Model and B-S Model

LEI Ming¹, CHEN Shu-xin¹, YE Wu-yi²

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

Received:2019-08-28 Online:2021-07-25

摘要/Abstract

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。

关键词: 期权定价, B-S模型, 双侧伽马分布, 偏离度

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.

Key words: option pricing, B-S model, the bilateral gamma distribution, deviation degree

中图分类号:

F832.5

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.

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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双侧伽马期权定价与B-S模型的比较研究

A Comparative Study of Option Pricing Models: Based on Bilateral Gamma Distribution Model and B-S Model

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