[1]姚艾嘉,张艳慧*,李明阳,等.基于快速分数阶Fourier变换的期权定价——以上证50ETF期权为例[J].江西师范大学学报(自然科学版),2020,(06):614-620.[doi:10.16357/j.cnki.issn1000-5862.2020.06.12]
　YAO Aijia,ZHANG Yanhui*,LI Mingyang,et al.The Option Pricing Based on Fast Fractional Fourier Transform——Take 50ETF Options in Shanghai Stock Exchange as An Example[J].Journal of Jiangxi Normal University:Natural Science Edition,2020,(06):614-620.[doi:10.16357/j.cnki.issn1000-5862.2020.06.12]
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基于快速分数阶Fourier变换的期权定价——以上证50ETF期权为例()
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《江西师范大学学报》（自然科学版）[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2020年06期
页码:
614-620
栏目:
数学与应用数学
出版日期:
2020-12-20

文章信息/Info

Title:
The Option Pricing Based on Fast Fractional Fourier Transform——Take 50ETF Options in Shanghai Stock Exchange as An Example
文章编号:
1000-5862(2020)06-0614-07
作者:
姚艾嘉1; 张艳慧1*; 李明阳2; 康 蕊1
1.北京工商大学数学与统计学院,北京 100048; 2.英国诺丁汉大学数学科学学院统计系,诺丁汉 NG8 1AF
Author(s):
YAO Aijia1; ZHANG Yanhui1*; LI Mingyang2; KANG Rui1
1.School of Mathematics and Statistics,Beijing Technology and Business University,Beijing 100048,China; 2.Department of Statistics,School of Mathematics Science,University of Nottingham,Nottingham,NG8 1AF,The United Kingdom
关键词:
方差伽玛过程;  期权定价;  快速分数阶Fourier变换
Keywords:
VG process;  option pricing;  fractional fast Fourier transform
分类号:
F 224.0
DOI:
10.16357/j.cnki.issn1000-5862.2020.06.12
文献标志码:
A
摘要:
受美国股市熔断影响,近期中国欧式期权波动剧烈,从而对其定价问题产生一定挑战.基于VG过程刻画上证50ETF期权标的资产对数价格变化情况,对美国股市熔断前后各9支期权数据,采用快速分数阶Fourier变换进行期权定价研究,并与实际价格进行对比.实证分析表明:在美国股市熔断期间标的资产价格波动相对剧烈时VG过程依然拟合较好,用快速分数阶Fourier变换数值方法具有一定优势.
Abstract:
European option pricing under fast fractional Fourier transform is affected by the circuit breakers in the US stock market,and European option pricing in China fluctuates dramatically recently,which poses a certain challenge to its pricing problem.Based on the VG process,the logarithm price changes of the underlying assets of the 50ETF options in Shanghai Stock Exchange are described.The option pricing is studied by using fast fractional Fourier transform on the data of nine options before and after the circuit breaker in the US stock market,and compared with the actual prices.The empirical analysis shows that the VG process still fits well when the underlying asset price fluctuations are relatively severe during the US stock circuit breaker,and the numerical method using fast fractional Fourier transform has certain advantages.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2020-08-18
基金项目:国家自然科学基金(11971042)和北京市自然科学基金(1182008)资助项目.
通信作者:张艳慧(1975-),女,河北承德人,教授,博士,主要从事金融统计、函数论的位势理论研究.E-mail:zhangyanhui@th.btbu.edu.cn
更新日期/Last Update: 2020-12-20