VG扭曲算子在期权定价中的应用

Acta mathematica scientia,Series A ›› 2023, Vol. 43 ›› Issue (5): 1575-1584.

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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)

Abstract

CLC Number:

O211.6

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.

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References

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[7]	Godin F, Mayoral S, Morales M. Contingent claim pricing using a normal inverse gaussian probability distortion operator. Journal of Risk and Insurance, 2012, 79(3): 841-866
[8]	Godin F, Lai V, Trottier D. A general class of distortion operators for pricing contingent claims with applications to CAT bonds. Scandinavian Actuarial Journal, 2019, 2019(7): 558-584
[9]	Debora D, Georg C. The distortion principle for insurance pricing: Properties, identification and robustness. Annals of Operations Research, 2020, 292: 771-794
[10]	Madan D B, Seneta E. The Variance-Gamma model for share market returns. Journal of Business, 1990, 63(4): 511-524
[11]	Madan D B, Milne F. Option pricing with V.G. martingale components. Mathematical Finance, 1991, 1(4): 39-55
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[13]	Schoutens W. Lévy Processes in Finance:Pricing Financial Derivatives. Chichester: John Wiley and Sons, 2003
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Application of VG Distortion Operator in Option Pricing

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