摘要
本文提出了一种包含超额峰度的期权二项式定价模型。我们把由历史数据计算出来的均值、方差和峰度代入联立方程组中,得出二项式模型的参数,运用这些参数,我们计算出了包含标的资产超额峰度的看涨期权价格,同时本文还对本模型和CRR模型给出的看涨期权价格进行了一个比较。
The paper presents a method for estimating the parameters of the binomial option pricing model to price calls on assets with returns showing excess kurtosis. Parameters of the binomial model are shown to be a function of mean, variance, and kurtosis of the underlying return distribution. The paper gives a simple way to incorporate the kurtosis in the binomial option pricing and shows that the CRR model may underprice the call option when excess kurtosis exists.
出处
《管理评论》
2004年第5期17-21,共5页
Management Review
