VG扭曲算子在期权定价中的应用

数学物理学报 ›› 2023, Vol. 43 ›› Issue (5): 1575-1584.

VG扭曲算子在期权定价中的应用

姚落根^1,²,刘欢¹,陈琪琼^1,^*()

¹湖南工商大学理学院长沙 410205
²统计学习与智能计算湖南省重点实验室长沙 410205

收稿日期:2020-11-24 修回日期:2023-02-22 出版日期:2023-10-26 发布日期:2023-08-09
通讯作者: 陈琪琼 E-mail:qiongzi2004@126.com
基金资助:
湖南省高校科学研究项目重点项目(19A267);湖南省高校科学研究项目重点项目(20A485);湖南省自然科学基金(2022JJ30202);湖南省自然科学基金面上项目(2023JJ30196)

Application of VG Distortion Operator in Option Pricing

Yao Luogen^1,²,Liu Huan¹,Chen Qiqiong^1,^*()

¹School of Science, Hunan University of Technology and Business, Changsha 410205
²Key Laboratory of Hunan Province for Statistical Learning and Intelligent Computing, Changsha 410205

Received:2020-11-24 Revised:2023-02-22 Online:2023-10-26 Published:2023-08-09
Contact: Qiqiong Chen E-mail:qiongzi2004@126.com
Supported by:
Scientific Research Fund of Hunan Provincial Education Department(19A267);Scientific Research Fund of Hunan Provincial Education Department(20A485);Natural Science Foundation of Hunan Province(2022JJ30202);Natural Science Foundation of Hunan Province(2023JJ30196)

摘要/Abstract

摘要：

利用概率变换思路, 基于VG分布提出了VG扭曲算子. 在VG模型中, 证明了按VG扭曲算子得到的期权价格和在均值修正鞅测度下的期权价格一致. 数值计算结果表明, 按VG扭曲算子得到的期权价格比较准确.

关键词: 期权定价, VG分布, VG扭曲算子

Abstract:

Using the idea of probability transformation, VG distortion operator is proposed based on the distribution of VG. It is shown that option prices obtained by VG distortion operator are consistent with option prices obtained under the mean correcting martingale measure in the VG model. The numerical results show that option prices obtained by VG distortion operator are very accurate.

Key words: Option pricing, VG distribution, VG distortion operator

中图分类号:

O211.6

姚落根,刘欢,陈琪琼. VG扭曲算子在期权定价中的应用[J]. 数学物理学报, 2023, 43(5): 1575-1584.

Yao Luogen,Liu Huan,Chen Qiqiong. Application of VG Distortion Operator in Option Pricing[J]. Acta mathematica scientia,Series A, 2023, 43(5): 1575-1584.

图/表 4

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