摘要
提出了一个将股票收益分布的头四个动差结合起来的三项式期权定价模型。该模型所包含的股票收益分布的挠度可正可负 ,尾部可宽可窄 ,还可以是混合的。特别地 ,模型的系数可选择得与股票收益分布的实际估计评均值、方差、挠度和峭度相匹配 ,因而就可能产生出与实际观测的股票收益分布较为一致的期权价格。
This paper develops a trinomial option pricing model that incorporates the first four moments of the stock return distribution. The model allows for stock return distribution which are positively or negatively skewed and have fatter or thinner. Particularly, parameters of model can be chosen to match empirically estimated mean, variance, skewness, and kurtosis of the stock return distribution. The model thus has the potential to produce option prices that are more consistent with empirically observed stock return distribution.
出处
《系统工程理论方法应用》
2000年第3期209-216,共8页
Systems Engineering Theory·Methodology·Applications
基金
国家自然科学基金项目!(79970 0 15 )
关键词
股票收益
挠度
峭度
三项式期权定价模型
option pricing stock return skewness kurtosis trinomial model
